Consumption Imputation Errors in Administrative Data

Scott R. Baker; Lorenz Kueng; Steffen Meyer; Michaela Pagel

doi:10.1093/rfs/hhab087

Consumption Imputation Errors in Administrative Data

Scott R. Baker^*, Lorenz Kueng, Steffen Meyer, Michaela Pagel

^*Corresponding author for this work

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

8 Citations (Scopus)

Abstract

Many research papers in household finance utilize annual snapshots of household wealth from administrative data, such as tax registries, to calculate "imputed consumption."However, trading costs, unobserved intrayear trades, or unobserved security characteristics may cause measurement error. We document how such errors vary across groups of individuals by income, portfolio characteristics, and wealth and how they are correlated with individual income and balance sheets, asset prices, and the business cycle using transaction-level retail brokerage account data. We find that the economic significance of imputation error is small in many research settings, and we discuss robustness checks and econometric specifications to minimize the impact of imputation error in future research. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

Original language	English
Journal	Review of Financial Studies
Volume	35
Issue	6
Pages (from-to)	3021-3059
Number of pages	39
ISSN	0893-9454
DOIs	https://doi.org/10.1093/rfs/hhab087
Publication status	Published - 1 Jun 2022
Externally published	Yes

Keywords

C81
D12
D14
E21
G11
G51

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10.1093/rfs/hhab087

Cite this

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title = "Consumption Imputation Errors in Administrative Data",

abstract = "Many research papers in household finance utilize annual snapshots of household wealth from administrative data, such as tax registries, to calculate {"}imputed consumption.{"}However, trading costs, unobserved intrayear trades, or unobserved security characteristics may cause measurement error. We document how such errors vary across groups of individuals by income, portfolio characteristics, and wealth and how they are correlated with individual income and balance sheets, asset prices, and the business cycle using transaction-level retail brokerage account data. We find that the economic significance of imputation error is small in many research settings, and we discuss robustness checks and econometric specifications to minimize the impact of imputation error in future research. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online. ",

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author = "Baker, {Scott R.} and Lorenz Kueng and Steffen Meyer and Michaela Pagel",

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doi = "10.1093/rfs/hhab087",

language = "English",

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TY - JOUR

T1 - Consumption Imputation Errors in Administrative Data

AU - Baker, Scott R.

AU - Kueng, Lorenz

AU - Meyer, Steffen

AU - Pagel, Michaela

PY - 2022/6/1

Y1 - 2022/6/1

N2 - Many research papers in household finance utilize annual snapshots of household wealth from administrative data, such as tax registries, to calculate "imputed consumption."However, trading costs, unobserved intrayear trades, or unobserved security characteristics may cause measurement error. We document how such errors vary across groups of individuals by income, portfolio characteristics, and wealth and how they are correlated with individual income and balance sheets, asset prices, and the business cycle using transaction-level retail brokerage account data. We find that the economic significance of imputation error is small in many research settings, and we discuss robustness checks and econometric specifications to minimize the impact of imputation error in future research. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

AB - Many research papers in household finance utilize annual snapshots of household wealth from administrative data, such as tax registries, to calculate "imputed consumption."However, trading costs, unobserved intrayear trades, or unobserved security characteristics may cause measurement error. We document how such errors vary across groups of individuals by income, portfolio characteristics, and wealth and how they are correlated with individual income and balance sheets, asset prices, and the business cycle using transaction-level retail brokerage account data. We find that the economic significance of imputation error is small in many research settings, and we discuss robustness checks and econometric specifications to minimize the impact of imputation error in future research. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

KW - C81

KW - D12

KW - D14

KW - E21

KW - G11

KW - G51

UR - http://www.scopus.com/inward/record.url?scp=85126227640&partnerID=8YFLogxK

U2 - 10.1093/rfs/hhab087

DO - 10.1093/rfs/hhab087

M3 - Journal article

AN - SCOPUS:85126227640

SN - 0893-9454

VL - 35

SP - 3021

EP - 3059

JO - Review of Financial Studies

JF - Review of Financial Studies

IS - 6

ER -

Consumption Imputation Errors in Administrative Data

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Keywords

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