What are We Weighting for?

29 Pages Posted: 1 Mar 2013

See all articles by Gary Solon

Gary Solon

University of Arizona; National Bureau of Economic Research (NBER)

Steven J. Haider

Michigan State University - Department of Economics; IZA Institute of Labor Economics

Jeff Wooldridge

Michigan State University - Department of Economics

Date Written: February 2013

Abstract

The purpose of this paper is to help empirical economists think through when and how to weight the data used in estimation. We start by distinguishing two purposes of estimation: to estimate population descriptive statistics and to estimate causal effects. In the former type of research, weighting is called for when it is needed to make the analysis sample representative of the target population. In the latter type, the weighting issue is more nuanced. We discuss three distinct potential motives for weighting when estimating causal effects: (1) to achieve precise estimates by correcting for heteroskedasticity, (2) to achieve consistent estimates by correcting for endogenous sampling, and (3) to identify average partial effects in the presence of unmodeled heterogeneity of effects. In each case, we find that the motive sometimes does not apply in situations where practitioners often assume it does. We recommend diagnostics for assessing the advisability of weighting, and we suggest methods for appropriate inference.

Suggested Citation

Solon, Gary and Haider, Steven J. and Wooldridge, Jeffrey M., What are We Weighting for? (February 2013). NBER Working Paper No. w18859. Available at SSRN: https://ssrn.com/abstract=2226847

Gary Solon (Contact Author)

University of Arizona ( email )

Department of Economics
Eller College of Management
Tucson, AZ 85719
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Steven J. Haider

Michigan State University - Department of Economics ( email )

East Lansing, MI 48824
United States

IZA Institute of Labor Economics

P.O. Box 7240
Bonn, D-53072
Germany

Jeffrey M. Wooldridge

Michigan State University - Department of Economics ( email )

#211 Marshall Hall
East Lansing, MI 48824-1038
United States
517+353-5972 (Phone)

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