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

31 Pages Posted: 17 Nov 2001 Last revised: 12 Dec 2001

See all articles by Aviv Nevo

Aviv Nevo

Northwestern University - Department of Economics; National Bureau of Economic Research (NBER)

Date Written: November 2001

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.

Suggested Citation

Nevo, Aviv, Using Weights to Adjust for Sample Selection When Auxiliary Information is Available (November 2001). NBER Working Paper No. t0275. Available at SSRN: https://ssrn.com/abstract=291260

Aviv Nevo (Contact Author)

Northwestern University - Department of Economics ( email )

2003 Sheridan Road
Evanston, IL 60208
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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