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What Are We Weighting For?

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Author Info

  • Gary Solon
  • Steven J. Haider
  • Jeffrey Wooldridge

Abstract

The purpose of this paper is to help empirical economists think through when and how to weight the data used in estimation. We start by distinguishing two purposes of estimation: to estimate population descriptive statistics and to estimate causal effects. In the former type of research, weighting is called for when it is needed to make the analysis sample representative of the target population. In the latter type, the weighting issue is more nuanced. We discuss three distinct potential motives for weighting when estimating causal effects: (1) to achieve precise estimates by correcting for heteroskedasticity, (2) to achieve consistent estimates by correcting for endogenous sampling, and (3) to identify average partial effects in the presence of unmodeled heterogeneity of effects. In each case, we find that the motive sometimes does not apply in situations where practitioners often assume it does. We recommend diagnostics for assessing the advisability of weighting, and we suggest methods for appropriate inference.

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Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 18859.

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Date of creation: Feb 2013
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Handle: RePEc:nbr:nberwo:18859

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Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Weights in Regressions
    by René Böheim in Econ Tidbits on 2013-03-25 13:29:00
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Cited by:
  1. Arnaud Chevalier & Olivier Marie, 2013. "Economic Uncertainty, Parental Selection, and the Criminal Activity of the 'Children of the Wall'," CESifo Working Paper Series 4462, CESifo Group Munich.
  2. Ehrmann, Michael & Ziegelmeyer, Michael, 2014. "Household risk management and actual mortgage choice in the euro area," Working Paper Series 1631, European Central Bank.
  3. Price, Gregory N., 2013. "The allometry of metabolism and stature: Worker fatigue and height in the Tanzanian labor market," Economics & Human Biology, Elsevier, vol. 11(4), pages 515-521.
  4. Arnaud Chevalier & Olivier Marie, 2013. "Economic Uncertainty, Parental Selection, and the Criminal Activity of the "Children of the Wall"," SOEPpapers on Multidisciplinary Panel Data Research 605, DIW Berlin, The German Socio-Economic Panel (SOEP).
  5. Qing Li & Arthur Sweetman, 2013. "The Quality of Immigrant Source Country Educational Outcomes: Do they Matter in the Receiving Country?," CReAM Discussion Paper Series 1332, Centre for Research and Analysis of Migration (CReAM), Department of Economics, University College London.

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