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Using Weights to Adjust for Sample Selection When Auxiliary Information Is Available

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  • Nevo, Aviv

Abstract

This article analyzes generalized method of moments estimation when the sample is not a random draw from the population of interest. Auxiliary information, in the form of moments from the population of interest, is exploited to compute weights that are proportional to the inverse probability of selection. The essential idea is to construct weights for each observation in the primary data such that the moments of the weighted data are set equal to the additional moments. The estimator is applied to the Dutch Transportation Panel, in which refreshment draws were taken from the population of interest to deal with heavy attrition of the original panel. It is shown how these additional samples can be used to adjust for sample selection.

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Bibliographic Info

Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 21 (2003)
Issue (Month): 1 (January)
Pages: 43-52

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Handle: RePEc:bes:jnlbes:v:21:y:2003:i:1:p:43-52

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Cited by:
  1. Emre Ekinci, 2009. "Dealing with Attrition When Refreshment Samples are Available: An Application to the Turkish Household Labor Force Survey," 2009 Meeting Papers 353, Society for Economic Dynamics.
  2. Lechner, Michael, 2004. "Sequential Matching Estimation of Dynamic Causal Models," IZA Discussion Papers 1042, Institute for the Study of Labor (IZA).
  3. Artem Prokhorov & Peter Schmidt, 2008. "GMM Redundancy Results for General Missing Data Problems," Working Papers 08003, Concordia University, Department of Economics.
  4. Bhattacharya, Debopam, 2008. "Inference in panel data models under attrition caused by unobservables," Journal of Econometrics, Elsevier, vol. 144(2), pages 430-446, June.
  5. Marcel Das & Vera Toepoel & Arthur van Soest, 2011. "Nonparametric Tests of Panel Conditioning and Attrition Bias in Panel Surveys," Sociological Methods & Research, , vol. 40(1), pages 32-56, February.
  6. Bryan S. Graham & Cristine Campos de Xavier Pinto & Daniel Egel, 2008. "Inverse Probability Tilting for Moment Condition Models with Missing Data," NBER Working Papers 13981, National Bureau of Economic Research, Inc.
  7. Devereux, Paul J. & Tripathi, Gautam, 2008. "Optimally Combining Censored and Uncensored Datasets," CEPR Discussion Papers 6990, C.E.P.R. Discussion Papers.
  8. Hindsley, Paul & Landry, Craig E. & Gentner, Brad, 2011. "Addressing onsite sampling in recreation site choice models," Journal of Environmental Economics and Management, Elsevier, vol. 62(1), pages 95-110, July.

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