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Accounting for Nonresponse Heterogeneity in Panel Data

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Abstract

The paper proposes a technique for the estimation of possibly nonlinear panel data models in the presence of heterogeneous unit nonresponse. Attrition or unit nonresponse in panel data usually renders parameter estimators inconsistent unless the unavailable information is missing completely at random. For moment based estimators this problem can be expressed in terms of the impossibility to construct the sample equivalents of the population moments of interest. However, if the attrition process is conditionally mean independent of the variables of interest then the sample equivalents of the population moments can be recovered by weighting the moment functions with the conditional response probability (or propensity score). The latter is usually unknown and has to be estimated. In the presence of nonresponse heterogeneity the propensity score can be estimated by conventional parametric estimation methods like the multinomial logit or probit model. The technique proposed in this paper leads to a moment estimator which simultaneously exploits the weighted moment functions of interest and the score function of the multinomial choice model. The use of simulated moments is discussed for applications with many nonresponse reasons. An applications of the estimator to firm level data is presented where the variables of interest are R&D investments related to product and process innovations.

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Bibliographic Info

Paper provided by Center of Finance and Econometrics, University of Konstanz in its series CoFE Discussion Paper with number 01-03.

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Length: 28 Pages
Date of creation: Mar 2001
Date of revision:
Handle: RePEc:knz:cofedp:0103

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Cited by:
  1. Cheti Nicoletti, 2002. "Non-Response in Dynamic Panel Data Models," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 A5-4, International Conferences on Panel Data.
  2. Abigail McKnight, 2011. "Estimates of the asset-effect: the search for a causal effect of assets on adult health and employment outcomes," LSE Research Online Documents on Economics 43896, London School of Economics and Political Science, LSE Library.

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