Robustness to Missing Data: Breakdown Point Analysis

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Tác giả: Daniel Ober-Reynolds

Ngôn ngữ: eng

Ký hiệu phân loại: 515.7 Functional analysis

Thông tin xuất bản: 2024

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 202981

Comment: 55 pages, 3 figures. Presented at the 2023 North American Summer Meeting of the Econometric SocietyMissing data is pervasive in econometric applications, and rarely is it plausible that the data are missing (completely) at random. This paper proposes a methodology for studying the robustness of results drawn from incomplete datasets. Selection is measured as the squared Hellinger divergence between the distributions of complete and incomplete observations, which has a natural interpretation. The breakdown point is defined as the minimal amount of selection needed to overturn a given result. Reporting point estimates and lower confidence intervals of the breakdown point is a simple, concise way to communicate the robustness of a result. An estimator of the breakdown point of a result drawn from a generalized method of moments model is proposed and shown root-n consistent and asymptotically normal under mild assumptions. Lower confidence intervals of the breakdown point are simple to construct. The paper concludes with a simulation study illustrating the finite sample performance of the estimators in several common models.
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