TY - JOUR
AU - Graham,Bryan S.
TI - Efficiency bounds for missing data models with semiparametric restrictions
JF - National Bureau of Economic Research Working Paper Series
VL - No. 14376
PY - 2008
Y2 - October 2008
DO - 10.3386/w14376
UR - http://www.nber.org/papers/w14376
L1 - http://www.nber.org/papers/w14376.pdf
N1 - Author contact info:
Bryan S. Graham
University of California - Berkeley
530 Evans Hall #3880
Berkeley, CA 94720-3880
Tel: (510) 642 4752
E-Mail: bgraham@econ.berkeley.edu
AB - This paper shows that the semiparametric efficiency bound for a parameter identified by an unconditional moment restriction with data missing at random (MAR) coincides with that of a particular augmented moment condition problem. The augmented system consists of the inverse probability weighted (IPW) original moment restriction and an additional conditional moment restriction which exhausts all other implications of the MAR assumption. The paper also investigates the value of additional semiparametric restrictions on the conditional expectation function (CEF) of the original moment function given always- observed covariates. In the program evaluation context, for example, such restrictions are implied by semiparametric models for the potential outcome CEFs given baseline covariates. The efficiency bound associated with this model is shown to also coincide with that of a particular moment condition problem. Some implications of these results for estimation are briefly discussed.
ER -