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Moment Estimation with Attrition

  • John M. Abowd
  • Bruno Crepon
  • Francis Kramarz

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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File URL: http://www.nber.org/papers/t0214.pdf
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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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Publication status: published as Abowd, John M., Bruno Crepon and Francis Kramarz. "Moment Estimation With Attrition: An Application To Economic Models," Journal of the American Statistical Association, 2001, v96(456,Dec), 1223-1231.
Handle: RePEc:nbr:nberte:0214
Note: LS
Contact details of provider: Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
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  1. Heckman, James J, 1979. "Sample Selection Bias as a Specification Error," Econometrica, Econometric Society, vol. 47(1), pages 153-61, January.
  2. Nickell, Stephen, 1984. "An Investigation of the Determinants of Manufacturing Employment in the United Kingdom," Review of Economic Studies, Wiley Blackwell, vol. 51(4), pages 529-57, October.
  3. 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.
  4. repec:dgr:uvatin:19980033 is not listed on IDEAS
  5. 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, Wiley Blackwell, vol. 58(2), pages 277-97, April.
  6. John Sutton, 1996. "Gibrats Legacy," STICERD - Economics of Industry Papers 14, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  7. Baltagi, Badi H. & Chang, Young-Jae, 1994. "Incomplete panels : A comparative study of alternative estimators for the unbalanced one-way error component regression model," Journal of Econometrics, Elsevier, vol. 62(2), pages 67-89, June.
  8. 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.
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