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Nonresponse in panel data: The impact on estimates of a life cycle consumption function
Author(s) -
Nijman Theo,
Verbeek Marno
Publication year - 1992
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.3950070303
Subject(s) - panel data , estimator , econometrics , missing data , consistency (knowledge bases) , attrition , consumption (sociology) , estimation , statistics , random effects model , index (typography) , data set , computer science , economics , mathematics , medicine , social science , meta analysis , management , dentistry , artificial intelligence , sociology , world wide web
If missing observations in a panel data set are not missing at random, many widely applied estimators may be inconsistent. In this paper we examine empirically several ways to reveal the nature and severity of the selectivity problem due to nonresponse, as well as a number of methods to estimate the resulting models. Using a life cycle consumption function and data from the Expenditure Index Panel from the Netherlands, we discuss simple procedures that can be used to assess whether observations are missing at random, and we consider more complicated estimation procedures that can be used to obtain consistent or efficient estimates in case of selectivity of attrition bias. Finally, some attention is paid to the differences in identification, consistency, and efficiency between inferences from a single wave of the panel, a balanced sub‐panel, and an unbalanced panel.