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Inverse probability weighted generalised empirical likelihood estimators : firm size and R&D revisited

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Author Info
Inkmann, Joachim (Tilburg University, Center for Economic Research)

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Abstract

The inverse probability weighted Generalised Empirical Likelihood (IPW-GEL) estimator is proposed for the estimation of the parameters of a vector of possibly non-linear unconditional moment functions in the presence of conditionally independent sample selection or attrition. The estimator is applied to the estimation of the firm size elasticity of product and process R&D expenditures using a panel of German manufacturing firms, which is affected by attrition and selection into R&D activities. IPW-GEL and IPW-GMM estimators are compared in this application as well as identification assumptions based on independent and conditionally independent sample selection. The results are similar in all specifications.

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Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 131.

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Date of creation: 2005
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Handle: RePEc:dgr:kubcen:2005131

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Related research
Keywords: generalised emperical likelihood; inverse probability weighting; propensity score; conditional independence; missing at random; selection; attrition;

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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data
O31 - Economic Development, Technological Change, and Growth - - Technological Change - - - Innovation and Invention: Processes and Incentives

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Cited by:
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  1. Robert D. J. Anderson, 2008. "US Consumer Inflation Expectations: Evidence Regarding Learning, Accuracy and Demographics," Centre for Growth and Business Cycle Research Discussion Paper Series 99, Economics, The Univeristy of Manchester. [Downloadable!]
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