Consider any regression model, linear or nonlinear, with dependent variable (y) and exogenous variables (mathbf{x}), and iid

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Consider any regression model, linear or nonlinear, with dependent variable \(y\) and exogenous variables \(\mathbf{x}\), and iid errors \(\varepsilon\). Show that if the probability of missing data on \(\mathbf{x}\) is independent of \(y\), then the regression based on listwise deletion will provide a consistent estimate of the conditional mean function. [Show that the conditional distribution of \(y\) given \(\mathbf{x}\) is not affected by missing observations.]

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Microeconometrics Methods And Applications

ISBN: 9780521848053

1st Edition

Authors: A.Colin Cameron, Pravin K. Trivedi

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