Pseudolikelihood estimation in a class of problems with response‐related missing covariates

Many practical situations involve a response variableYand covariatesX, where data on (Y,X) are incomplete for some portion of a sample of individuals. We consider two general types of pseudolikelihood estimation for problems in which missingness may be response‐related. These are typically simpler to implement than ordinary maximum likelihood, which in this context is semiparametric. Asymptotics for the pseudolikelihood methods are presented, and simulations conducted to investigate the methods for an important class of problems involving lifetime data. Our results indicate that for these problems the two methods are effective and comparable with respect to efficiency.