Finite-Sample Hausdorff Bounds and Hadamard Sensitivity for Regressions with MNAR Covariates

Abstract

Covariates missing not at random generally prevent point identification of regression coefficients without untestable restrictions. This paper studies linear regression when every missing covariate is restricted to a prespecified compact interval. The resulting population target is the set of best linear predictor coefficients compatible with the observed-data law. Under a non-atomic observed-data law and the stated regularity conditions, we can represent this identified set as the image, under the least-squares moment map, of the Aumann expectation of a random moment set. For the population set and its empirical analogue, we derive explicit bounds under bounded, sub-exponential and polynomial envelope conditions. The bounds show their dependence on sample size, dimension, confidence level and tail parameters. Under a Donsker condition and a uniform zero-set error bound, an oracle enlargement of the set-valued Z-estimator also converges at the root n rate. We separately study a Hadamard-design method for exploring the effect of admissible imputations without enumerating all vertices and build intuition to detect situations where the population target can be approximated by a zonotope. A numerical experiment illustrates how co-missingness and the width of the imputation intervals affect this diagnostic.