An Analysis of Sample Attrition in Panel Data: The Michigan Panel Study of income Dynamics
By 1989 the Michigan Panel Study on Income Dynamics (PSID) had experimented approximately 50 percent sample loss from cumulative attrition from its initial 1968 membership We study the effect of this attrition on the unconditional distributions of several socioeconomic variables and on the estimates of regression coefficients for those variables We provide a statistical framework for conducting tests for attrition bias that draws a sharp distinction between selection on unobservables and on observables and that shows that weighted least squares can generate consistent parameter estimates when selection is based on observables that are endogenous Our empirical analysis shows that attrition is highly selective and is concentrated among lower socioeconomic status individuals We also show that attrition is concentrated among those with more unstable earnings marriage and migration histories holding fixed the level of those variables Nevertheless we find that the absolute magnitude of the selection is not large and it is moderated by regression-to-the-mean effects from attrition on transitory components Consequently despite the large amount of attrition the PSID has remained roughly representative through 1989
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