TY - JOUR
AU - Nevo,Aviv
TI - Using Weights to Adjust for Sample Selection When Auxiliary Information is Available
JF - National Bureau of Economic Research Technical Working Paper Series
VL - No. 275
PY - 2001
Y2 - November 2001
DO - 10.3386/t0275
UR - http://www.nber.org/papers/t0275
L1 - http://www.nber.org/papers/t0275.pdf
N1 - Author contact info:
Aviv Nevo
Department of Economics
Northwestern University
2001 Sheridan Road
Evanston, IL 60208-2600
Tel: 847/491-8212
Fax: 847/491-7001
E-Mail: nevo@northwestern.edu
AB - 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.
ER -