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Inverse probability weighted M-estimators for sample selection, attrition and stratification

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  • Jeffrey M. Wooldridge

Abstract

I provide an overview of inverse probability weighted (IPW) M-estimators for cross section and two-period panel data applications. Under an ignorability assumption, I show that population parameters are identified, and provide straightforward √N-consistent and asymptotically normal estimation methods. I show that estimating a binary response selection model by conditional maximum likelihood leads to a more efficient estimator than using known probabilities, a result that unifies several disparate results in the literature. But IPW estimation is not a panacea: in some important cases of nonresponse, unweighted estimators will be consistent under weaker ignorability assumptions.

Suggested Citation

  • Jeffrey M. Wooldridge, 2002. "Inverse probability weighted M-estimators for sample selection, attrition and stratification," CeMMAP working papers 11/02, Institute for Fiscal Studies.
    • Handle: RePEc:azt:cemmap:11/02
    DOI: 10.1920/wp.cem.2002.1102
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