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Moment Estimation with Attrition

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Author Info
John M. Abowd
Bruno Crepon
Francis Kramarz

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Abstract

We present a method that accommodates missing data in longitudinal datasets of the type usually encountered in economic and social applications. The technique uses various extensions of missing at random' assumptions that we customize for dynamic models. Our method, applicable to longitudinal data on persons or firms, is implemented using the Generalized Method of Moments with reweighting that appropriately corrects for the attrition bias caused by the missing data. We apply the method to the estimation of dynamic labor demand models. The results demonstrate that the correction is extremely important.

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Publisher Info
Paper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0214.

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Date of creation: Aug 1997
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Handle: RePEc:nbr:nberte:0214

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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

References listed on IDEAS
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  1. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Blackwell Publishing, vol. 58(2), pages 277-97, April. [Downloadable!] (restricted)
  2. Martha A. Schary, 1991. "The Probability of Exit," RAND Journal of Economics, The RAND Corporation, vol. 22(3), pages 339-353, Autumn. [Downloadable!] (restricted)
  3. Heckman, James J, 1979. "Sample Selection Bias as a Specification Error," Econometrica, Econometric Society, vol. 47(1), pages 153-61, January. [Downloadable!] (restricted)
  4. Baden-Fuller, Charles W F, 1989. "Exit from Declining Industries and the Case of Steel Castings," Economic Journal, Royal Economic Society, vol. 99(398), pages 949-61, December. [Downloadable!] (restricted)
  5. John Sutton, 1996. "Gibrats Legacy," STICERD - Economics of Industry Papers 14, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
  6. Verbeek, Marno & Nijman, Theo, 1992. "Testing for Selectivity Bias in Panel Data Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(3), pages 681-703, August. [Downloadable!] (restricted)
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  7. Nickell, Stephen, 1984. "An Investigation of the Determinants of Manufacturing Employment in the United Kingdom," Review of Economic Studies, Blackwell Publishing, vol. 51(4), pages 529-57, October. [Downloadable!] (restricted)
  8. Keisuke Hirano & Guido W. Imbens & Geert Ridder & Donald B. Rubin, 1998. "Combining Panel Data Sets with Attrition and Refreshment Samples," Tinbergen Institute Discussion Papers 98-033/4, Tinbergen Institute. [Downloadable!]
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(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.)

  1. Joachim Inkmann, 2001. "Accounting for Nonresponse Heterogeneity in Panel Data," CoFE Discussion Paper 01-03, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  2. Tor Jakob Klette and Arvid Raknerud, 2002. "How and why do Firms differ?," Discussion Papers 320, Research Department of Statistics Norway. [Downloadable!]
    Other versions:
  3. Arvid Raknerud, 2002. "Identification, Estimation and Testing in Panel Data Models with Attrition: The Role of the Missing at Random Assumption," Discussion Papers 330, Research Department of Statistics Norway. [Downloadable!]
  4. 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!]
  5. repec:ese:iserwp: is not listed on IDEAS
  6. Alessie, Rob & Hochguertel, Stefan & Weber, Guglielmo, 2001. "Consumer Credit: Evidence from Italian Micro Data," CEPR Discussion Papers 3071, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  7. Cheti Nicoletti & Franco Peracchi & Vincenzo Atella, 2005. "Survey Response and Survey Characteristics: Micro-level Evidence from the European Commission Household Panel," CEIS Research Paper 64, Tor Vergata University, CEIS. [Downloadable!]
  8. Nicoletti, Cheti & Peracchi, Franco, 2004. "Survey response and survey characteristics: Micro-level evidence from the ECHP," Economics & Statistics Discussion Papers esdp04015, University of Molise, Dept. SEGeS. [Downloadable!]
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