This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Inverse probability weighted M-estimators for sample selection, attrition and stratification Author info | Abstract | Publisher info | Download info | Related research | Statistics Jeffrey M. Wooldridge
Additional information is available for the following
registered author(s):
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 vN-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.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number
CWP11/02.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length: 42 pp.
Date of creation: Mar 2002Date of revision:
Handle: RePEc:ifs:cemmap:11/02Contact details of provider: Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE Phone: (+44) 020 7291 4800 Fax: (+44) 020 7323 4780 Email: Web page: http://cemmap.ifs.org.uk
Order Information: Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE Email:
For technical questions regarding this item, or to correct its listing, contact: (Emma Hyman).
Keywords: Other versions of this item:
Find related papers by JEL classification: C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data
This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: John Fitzgerald & Peter Gottschalk & Robert Moffit, 1999.
"Sample Attrition in Panel Data: The Role of Selection on Observables ,"
Annales d'Economie et de Statistique ,
ADRES, issue 55-56, pages 06, Juillet-D.
[Downloadable!]
Wooldridge, Jeffrey M., 2001.
"Asymptotic Properties Of Weighted M-Estimators For Standard Stratified Samples ,"
Econometric Theory ,
Cambridge University Press, vol. 17(02), pages 451-470, April.
[Downloadable!]
Horowitz, Joel L. & Manski, Charles F., 1998.
"Censoring of outcomes and regressors due to survey nonresponse: Identification and estimation using weights and imputations ,"
Journal of Econometrics ,
Elsevier, vol. 84(1), pages 37-58, May.
[Downloadable!] (restricted)
Other versions:
Horowitz, J.L. & Manski, C.F., 1995.
"Censoring of Outcomes and Regressors Due to Survey Nonresponse: Identification and estimation Using Weights and Imputations ,"
Working Papers
95-12, University of Iowa, Department of Economics.
Joel L. Horowitz & Charles F. Manski, 1996.
"Censoring of Outcomes and Regressors Due To Survey Nonresponse: Identification and Estimation Using Weights and Imputations ,"
Econometrics
9602007, EconWPA, revised 06 Mar 1996.
[Downloadable!] James J. Heckman, 1976.
"The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models ,"
NBER Chapters ,
in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 120-137
National Bureau of Economic Research, Inc.
[Downloadable!]
Guido Imbens, 2000.
"Efficient Estimation of Average Treatment Effects Using the Estimated Propensity Score ,"
Econometric Society World Congress 2000 Contributed Papers
1166, Econometric Society.
[Downloadable!]
Other versions:
Keisuke Hirano & Guido W. Imbens & Geert Ridder, 2000.
"Efficient Estimation of Average Treatment Effects Using the Estimated Propensity Score ,"
NBER Technical Working Papers
0251, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Keisuke Hirano & Guido W. Imbens & Geert Ridder, 2003.
"Efficient Estimation of Average Treatment Effects Using the Estimated Propensity Score ,"
Econometrica ,
Econometric Society, vol. 71(4), pages 1161-1189, 07.
[Downloadable!] (restricted) Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984.
"Pseudo Maximum Likelihood Methods: Theory ,"
Econometrica ,
Econometric Society, vol. 52(3), pages 681-700, May.
[Downloadable!] (restricted)
Other versions: Peter Gottschalk & John Fitzgerald & Robert Moffitt, 1997.
"An Analysis of the Impact of Sample Attrition on the Second Generation of Respondents in the Michigan Panel Study of Income Dynamics ,"
Boston College Working Papers in Economics
399, Boston College Department of Economics.
[Downloadable!]
Newey, Whitney K. & McFadden, Daniel, 1986.
"Large sample estimation and hypothesis testing ,"
Handbook of Econometrics ,
in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 36, pages 2111-2245
Elsevier.
[Downloadable!] (restricted)
Jeffrey M. Wooldridge, 1999.
"Asymptotic Properties of Weighted M-Estimators for Variable Probability Samples ,"
Econometrica ,
Econometric Society, vol. 67(6), pages 1385-1406, November.
Leslie E. Papke & Jeffrey M. Wooldridge, 1993.
"Econometric Methods for Fractional Response Variables with an Application to 401(k) Plan Participation Rates ,"
NBER Technical Working Papers
0147, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: repec:att:wimass:199525 is not listed on IDEAS
Richard Blundell & Monica Costa Dias, 2002.
"Alternative approaches to evaluation in empirical microeconomics ,"
CeMMAP working papers
CWP10/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
[Downloadable!]
Other versions:
Richard Blundell & Monica Costa Dias, 2008.
"Alternative approaches to evaluation in empirical microeconomics ,"
CeMMAP working papers
CWP26/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
[Downloadable!] Richard Blundell & Mónica Costa Dias, 2008.
"Alternative Approaches to Evaluation in Empirical Microeconomics ,"
CETE Discussion Papers
0805, Universidade do Porto, Faculdade de Economia do Porto.
[Downloadable!] Blundell, Richard & Costa Dias, Monica, 2008.
"Alternative Approaches to Evaluation in Empirical Microeconomics ,"
IZA Discussion Papers
3800, Institute for the Study of Labor (IZA).
[Downloadable!] Richard Blundell & Monica Costa Dias, 2009.
"Alternative Approaches to Evaluation in Empirical Microeconomics ,"
Journal of Human Resources ,
University of Wisconsin Press, vol. 44(3).
[Downloadable!] (restricted) White, Halbert, 1982.
"Maximum Likelihood Estimation of Misspecified Models ,"
Econometrica ,
Econometric Society, vol. 50(1), pages 1-25, January.
[Downloadable!] (restricted)
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Alessandro Tarozzi, 2004.
"Calculating Comparable Statistics from Incomparable Surveys, with an Application to Poverty in India ,"
Econometric Society 2004 North American Winter Meetings
280, Econometric Society.
[Downloadable!]
Other versions: Giovanni Forchini & Grant Hillier, 2005.
"Ill-conditioned problems, Fisher information and weak instruments ,"
CeMMAP working papers
CWP04/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
[Downloadable!]
repec:ese:iserwp: is not listed on IDEAS
Farshid Vahid & Pushkar Maitra, 2005.
"The Effect of Household Characteristics on Living Standards in South Africa 1993 - 98: A Quantile Regression Analysis with Sample Attrition ,"
ANUCBE School of Economics Working Papers
2005-452, Australian National University, College of Business and Economics, School of Economics.
[Downloadable!]
Other versions: Lechner, Michael, 2004.
"Sequential Matching Estimation of Dynamic Causal Models ,"
IZA Discussion Papers
1042, Institute for the Study of Labor (IZA).
[Downloadable!]
Other versions: Paul Contoyannis & Andrew M. Jones & Nigel Rice, 2004.
"The dynamics of health in the British Household Panel Survey ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 19(4), pages 473-503.
[Downloadable!]
Teresa Bago d'Uva, 2005.
"Latent class models for use of primary care: evidence from a British panel ,"
Health Economics ,
John Wiley & Sons, Ltd., vol. 14(9), pages 873-892.
[Downloadable!]
Pierre Azoulay & Waverly Ding & Toby Stuart, 2006.
"The Impact of Academic Patenting on the Rate, Quality, and Direction of (Public) Research Output ,"
NBER Working Papers
11917, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Philip DeCicca & Donald S. Kenkel & Alan D. Mathios, 2008.
"Cigarette Taxes and the Transition from Youth to Adult Smoking: Smoking Initiation, Cessation, and Participation ,"
NBER Working Papers
14042, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
DeCicca, Philip & Kenkel, Don & Mathios, Alan, 2008.
"Cigarette taxes and the transition from youth to adult smoking: Smoking initiation, cessation, and participation ,"
Journal of Health Economics ,
Elsevier, vol. 27(4), pages 904-917, July.
[Downloadable!] (restricted) Sergio Destefanis & Vania Sena, 2006.
"Health, Capabilities and Functionings: An Empirical Analysis for the UK ,"
CSEF Working Papers
151, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
[Downloadable!]
Antony Chapoto & T.S. Jayne, 2005.
"Characteristics of Individuals Afflicted by AIDS-related Mortality in Zambia ,"
International Development Collaborative Working Papers
ZM-FSRP-WP-14, Department of Agricultural Economics, Michigan State University.
[Downloadable!]
Steven Lehrer & Weili Ding, 2004.
"Estimating Dynamic Treatment Effects from Project STAR ,"
Econometric Society 2004 North American Summer Meetings
252, Econometric Society.
[Downloadable!]
Inkmann, Joachim, 2005.
"Inverse probability weighted generalised empirical likelihood estimators : firm size and R&D revisited ,"
Discussion Paper
131, Tilburg University, Center for Economic Research.
[Downloadable!]
Markus Pannenberg, 2007.
"Risk Aversion and Reservation Wages ,"
IZA Discussion Papers
2806, Institute for the Study of Labor (IZA).
[Downloadable!]
Jeffrey M Wooldridge, 2002.
"Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity ,"
CeMMAP working papers
CWP18/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
[Downloadable!]
Other versions: William Greene, 2006.
"A General Approach to Incorporating Selectivity in a Model ,"
Working Papers
06-10, New York University, Leonard N. Stern School of Business, Department of Economics.
[Downloadable!]
Laszlo Goerke & Markus Pannenberg, 2005.
"Severance Pay and the Shadow of the Law: Evidence for West Germany ,"
Discussion Papers of DIW Berlin
541, DIW Berlin, German Institute for Economic Research.
[Downloadable!]
Other versions:
Access and
download statistics Did you know? It is the publishers that input data about their publications, as there is no staff at RePEc.
This page was last updated on 2009-10-31.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .