Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/185729 
Year of Publication: 
2017
Series/Report no.: 
Discussion Paper No. 59
Publisher: 
Ludwig-Maximilians-Universität München und Humboldt-Universität zu Berlin, Collaborative Research Center Transregio 190 - Rationality and Competition, München und Berlin
Abstract: 
This paper proposes a test for missing at random (MAR). The MAR assumption is shown to be testable given instrumental variables which are independent of response given potential outcomes. A nonparametric testing procedure based on integrated squared distance is proposed. The statistic\'s asymptotic distribution under the MAR hypothesis is derived. In particular, our results can be applied to testing missing completely at random (MCAR). A Monte Carlo study examines finite sample performance of our test statistic. An empirical illustration analyzes the nonresponse mechanism in labor income questions.
Subjects: 
incomplete data
missing-data mechanism
selection model
nonparametric hypothesis testing
consistent testing
instrumental variable
series estimation
JEL: 
C12
C14
Document Type: 
Working Paper

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