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Using Weights to Adjust for Sample Selection When Auxiliary Information Is Available

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  • Nevo, Aviv

Abstract

This article analyzes generalized method of moments estimation when the sample is not a random draw from the population of interest. Auxiliary information, in the form of moments from the population of interest, is exploited to compute weights that are proportional to the inverse probability of selection. The essential idea is to construct weights for each observation in the primary data such that the moments of the weighted data are set equal to the additional moments. The estimator is applied to the Dutch Transportation Panel, in which refreshment draws were taken from the population of interest to deal with heavy attrition of the original panel. It is shown how these additional samples can be used to adjust for sample selection.

Suggested Citation

  • Nevo, Aviv, 2003. "Using Weights to Adjust for Sample Selection When Auxiliary Information Is Available," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 43-52, January.
    • Handle: RePEc:bes:jnlbes:v:21:y:2003:i:1:p:43-52
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    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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