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Endogenous Attrition in Panels

Author

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  • Laurent Davezies

    (CREST)

  • Xavier d'Haultfoeuille

    (CREST)

Abstract

We consider endogenous attrition in panels where the probability of attrition may depend on current and past outcomes. We show that this probability is nonparametrically identified provided that instruments affecting the outcomes but not directly attrition, and whose distribution is identified, are available. We thus complement Hirano et al. (2001)’s framework, which does not rely on such instruments. Contrary to their approach, neither a refreshment sample nor an additive decomposition on the probability of attrition are needed. We also show that the exclusion restriction has testable implications. We propose an efficient estimation and a test of the exclusion restriction when the outcome and instruments are discrete. The continuous case, which shares some similar features with nonparametric instrumental variable additive models, is also investigated. Finally, we apply our results to the French labor force survey, and provide evidence that attrition is related to transitions on the employment status

Suggested Citation

  • Laurent Davezies & Xavier d'Haultfoeuille, 2013. "Endogenous Attrition in Panels," Working Papers 2013-17, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2013-17
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    Cited by:

    1. Heng Chen & Marie-Hélène Felt & Kim P. Huynh, 2017. "Retail payment innovations and cash usage: accounting for attrition by using refreshment samples," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 180(2), pages 503-530, February.

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    More about this item

    Keywords

    Panel data; Endogenous attrition; Instrumental variables;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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