Regression with an Imputed Dependent Variable (With Peter Levell, IFS, and Stavros Poupakis, Oxford)
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).

Please sign up for meetings here: docs.google.com/spreadsheets/d/1ZjhbNi_jTqvKL2cRLmeo8cjTrGBlkjmy7MAnWukYjYc/edit#gid=0
Date: 5 November 2019, 12:45 (Tuesday, 4th week, Michaelmas 2019)
Venue: Manor Road Building, Manor Road OX1 3UQ
Venue Details: Seminar Room A
Speaker: Tom Crossley (European University Institute)
Organising department: Department of Economics
Part of: Applied Microeconomics Seminar
Booking required?: Not required
Audience: Members of the University only
Editor: Melis Clark