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To Weight or not to Weight? The Eternal Question of Econometricians facing Survey Data

Author

Listed:
  • L. DAVEZIES

    (Insee)

  • X. D'HAULTFOEUILLE

    (Insee)

Abstract

A recurrent problem in economic studies based on survey data is to determine whether survey weights should be used or not. We show that weighted estimators are more robust than unweighted ones, but less accurate when unweighted estimators are consistent. In some circumstances, a compatibility test between the assumptions underlying the selection mechanism (i.e., the survey design and nonresponse) and the econometric model at hand can be implemented, by comparing these two estimators. Finally, we present some methods to compute the accuracy of weighted estimators.

Suggested Citation

  • L. Davezies & X. D'Haultfoeuille, 2009. "To Weight or not to Weight? The Eternal Question of Econometricians facing Survey Data," Documents de Travail de l'Insee - INSEE Working Papers g2009-06, Institut National de la Statistique et des Etudes Economiques.
    • Handle: RePEc:nse:doctra:g2009-06
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    File URL: https://www.bnsp.insee.fr/ark:/12148/bc6p06zqznh/f1.pdf
    File Function: Document de travail de la DESE numéro G2009/06
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    More about this item

    Keywords

    survey weights; sample selection; inverse probability weighting; Hausman test;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C83 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Survey Methods; Sampling Methods

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