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Estimation of a two‐equation panel model with mixed continuous and ordered categorical outcomes and missing data
Author(s) -
Spiess Martin
Publication year - 2006
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.1111/j.1467-9876.2006.00551.x
Subject(s) - categorical variable , missing data , panel data , estimator , econometrics , mathematics , covariance , statistics , weighting , estimating equations , imputation (statistics) , generalized estimating equation , medicine , radiology
Summary. The paper proposes an estimation approach for panel models with mixed continuous and ordered categorical outcomes based on generalized estimating equations for the mean and pseudoscore equations for the covariance parameters. A numerical study suggests that efficiency can be gained in the mean parameter estimators by using individual covariance matrices in the estimating equations for the mean parameters. The approach is applied to estimate the returns to occupational qualification in terms of income and perceived job security in a 9‐year period based on the German Socio‐Economic Panel. To compensate for missing data, a combined multiple imputation–weighting approach is adopted.