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

Aviv Nevo

No 275, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: In this paper I analyze GMM estimation when the sample is not a random draw from the population of interest. I exploit auxiliary information, in the form of moments from the population of interest, in order 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 in order to deal with heavy attrition of the original panel. I show how these additional samples can be used to adjust for sample selection.

JEL-codes: C23 (search for similar items in EconPapers)
Date: 2001-11
New Economics Papers: this item is included in nep-ecm
Note: TWP
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Published as Nevo, Aviv. "Using Weights To Adjust For Sample Selection When Auxiliary Information Is Available," Journal of Business and Economic Statistics, 2003, v21(1,Jan), 43-52.

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Journal Article: Using Weights to Adjust for Sample Selection When Auxiliary Information Is Available (2003)
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