Arbeitspapier

Local linear regression for generalized linear models with missing data

Fan, Heckman and Wand (1995) proposed locally weighted kernel polynomial regression methods for generalized linear models and quasilikelihood functions. When the covariate variables are missing at random, we propose a weighted estimator based on the inverse selection probability weights. Distribution theory is derived when the selection probabilities are estimated nonparametrically. We show that the asymptotic variance of the resulting nonparametric estimator of the mean function in the main regression model is the same as that when the selection probabilities are known, while the biases are generally different. This is different from results in parametric problems, where it is known that estimating weights actually decreases asymptotic variance. To reconcile the difference between the parametric and nonparametric problems, we obtain a second-order variance result for the nonparametric case. We generalize this result to local estimating equations. Finite sample performance is examined via simulation studies. The proposed method is demonstrated via an analysis of data from a casecontrol study.

Sprache
Englisch

Erschienen in
Series: SFB 373 Discussion Paper ; No. 1997,16

Klassifikation
Wirtschaft
Thema
local linear smoother
Generalized linear models
kernel regression
measurement error
missing at random
quasilikelihood functions

Ereignis
Geistige Schöpfung
(wer)
Wang, C.Y.
Wang, Soujin
Carroll, Raymond J.
Gutierrez, Roberto G.
Ereignis
Veröffentlichung
(wer)
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
(wo)
Berlin
(wann)
1997

Handle
URN
urn:nbn:de:kobv:11-10064033
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Wang, C.Y.
  • Wang, Soujin
  • Carroll, Raymond J.
  • Gutierrez, Roberto G.
  • Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Entstanden

  • 1997

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