What Are We Weighting For?
AbstractThe 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 InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 18859.
Date of creation: Feb 2013
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- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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- Chevalier, Arnaud & Marie, Olivier, 2013.
"Economic Uncertainty, Parental Selection, and the Criminal Activity of the 'Children of the Wall',"
IZA Discussion Papers
7712, Institute for the Study of Labor (IZA).
- Chevalier A. & Marie O. & Marie O., 2013. "Economic uncertainty, parental selection, and the criminal activity of the 'children of the wall'," Research Memoranda 020, Maastricht : ROA, Research Centre for Education and the Labour Market.
- 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.
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