Efficient inverse probability weighting method for quantile regression with nonignorable missing data

• Published in: Statistics (Berlin, DDR) Vol. 51; no. 2; pp. 363 - 386
• Main Authors: Zhao, Pu-Ying, Tang, Nian-Sheng, Jiang, De-Peng
• Format: Journal Article
• Language: English
• Published: Abingdon Taylor & Francis 04.03.2017; Taylor & Francis Ltd
• Subjects: Asymptotic methods; Asymptotic properties; Auxiliary information; Economic models; empirical likelihood; Estimating techniques; Estimators; Injury prevention; inverse probability weighting; Missing data; missing not at random; Parameter estimation; quantile regression; Quantiles; Regression; Statistical analysis; Weighting
• ISSN: 0233-1888; 1029-4910
• DOI: 10.1080/02331888.2016.1268615

Quantitle regression (QR) is a popular approach to estimate functional relations between variables for all portions of a probability distribution. Parameter estimation in QR with missing data is one of the most challenging issues in statistics. Regression quantiles can be substantially biased when observations are subject to missingness. We study several inverse probability weighting (IPW) estimators for parameters in QR when covariates or responses are subject to missing not at random. Maximum likelihood and semiparametric likelihood methods are employed to estimate the respondent probability function. To achieve nice efficiency properties, we develop an empirical likelihood (EL) approach to QR with the auxiliary information from the calibration constraints. The proposed methods are less sensitive to misspecified missing mechanisms. Asymptotic properties of the proposed IPW estimators are shown under general settings. The efficiency gain of EL-based IPW estimator is quantified theoretically. Simulation studies and a data set on the work limitation of injured workers from Canada are used to illustrated our proposed methodologies.