Regression with an imputed dependent variable

نویسندگان

چکیده

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 dependent variable that surveys impute into independent variable. We show commonly employed regression or matching-based imputation procedures lead inconsistent estimates. offer a consistent and easily-implemented two-step estimator, “re-scaled prediction”. derive correct asymptotic standard errors this estimator demonstrate its alternative approaches. illustrate empirical examples using from US Consumer Expenditure Survey (CE) Panel Study of Income Dynamics (PSID).

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ژورنال

عنوان ژورنال: Journal of Applied Econometrics

سال: 2022

ISSN: ['1099-1255', '0883-7252']

DOI: https://doi.org/10.1002/jae.2921