Arbeitspapier

Regression with an imputed dependent variable

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Researchers are often interested in the relationship between two variables, with no single data set containing both. A common strategy is to use proxies for the dependent variable that are common to two surveys to impute the dependent variable into the data set containing the independent variable. We show that commonly employed regression or matching-based imputation procedures lead to inconsistent estimates. We offer an easily-implemented correction and correct asymptotic standard errors. We illustrate these with Monte Carlo experiments and empirical examples using data from the US Consumer Expenditure Survey (CE) and the Panel Study of Income Dynamics (PSID).

Language: Englisch

Bibliographic citation: Series: ISER Working Paper Series ; No. 2019-07

Classification: Wirtschaft
Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
Estimation: General
Macroeconomics: Consumption; Saving; Wealth

Subject: Imputation
Measurement error
Consumption

Event: Geistige Schöpfung

(who): Crossley, Thomas F.
Levell, Peter
Poupakis, Stavros

Event: Veröffentlichung

(who): University of Essex, Institute for Social and Economic Research (ISER)

(where): Colchester

(when): 2019

Handle: http://hdl.handle.net/10419/227777

Last update: 10.03.2025, 11:44 AM CET

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Object type

Arbeitspapier

Associated

Crossley, Thomas F.
Levell, Peter
Poupakis, Stavros
University of Essex, Institute for Social and Economic Research (ISER)

Time of origin

2019

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