This paper deals with estimation and test procedures for restricted linear errors-invariables(EV) models with nonignorable missing covariates. We develop a restricted weighted corrected least squares(WCLS) estimator b...This paper deals with estimation and test procedures for restricted linear errors-invariables(EV) models with nonignorable missing covariates. We develop a restricted weighted corrected least squares(WCLS) estimator based on the propensity score, which is fitted by an exponentially tilted likelihood method. The limiting distributions of the proposed estimators are discussed when tilted parameter is known or unknown. To test the validity of the constraints,we construct two test procedures based on corrected residual sum of squares and empirical likelihood method and derive their asymptotic properties. Numerical studies are conducted to examine the finite sample performance of our proposed methods.展开更多
基金Supported by the Zhejiang Provincial Natural Science Foundation of China(LY15A010019)National Natural Science Foundation of China(11501250)
文摘This paper deals with estimation and test procedures for restricted linear errors-invariables(EV) models with nonignorable missing covariates. We develop a restricted weighted corrected least squares(WCLS) estimator based on the propensity score, which is fitted by an exponentially tilted likelihood method. The limiting distributions of the proposed estimators are discussed when tilted parameter is known or unknown. To test the validity of the constraints,we construct two test procedures based on corrected residual sum of squares and empirical likelihood method and derive their asymptotic properties. Numerical studies are conducted to examine the finite sample performance of our proposed methods.
