Inverse Probability Weighted Generalised Empirical Likelihood Estimators: Firm Size and R&D Revisited

CentER Discussion Paper Series No. 2005-131

23 Pages Posted: 17 Jan 2006

See all articles by Joachim Inkmann

Joachim Inkmann

University of Melbourne - Department of Finance; Financial Research Network (FIRN)

Date Written: December 2005

Abstract

The inverse probability weighted Generalised Empirical Likelihood (IPW-GEL) estimator is proposed for the estimation of the parameters of a vector of possibly non-linear unconditional moment functions in the presence of conditionally independent sample selection or attrition.The estimator is applied to the estimation of the firm size elasticity of product and process R&D expenditures using a panel of German manufacturing firms, which is affected by attrition and selection into R&D activities.IPW-GEL and IPW-GMM estimators are compared in this application as well as identification assumptions based on independent and conditionally independent sample selection.The results are similar in all specifications.

Keywords: research and development, generalised emperical likelihood, inverse probability weighting, propensity score, conditional independence, missing at random, selection, attrition

JEL Classification: C13, C33, O31

Suggested Citation

Inkmann, Joachim, Inverse Probability Weighted Generalised Empirical Likelihood Estimators: Firm Size and R&D Revisited (December 2005). Available at SSRN: https://ssrn.com/abstract=875613 or http://dx.doi.org/10.2139/ssrn.875613

Joachim Inkmann (Contact Author)

University of Melbourne - Department of Finance ( email )

Level 12, 198 Berkeley Street
University of Melbourne, Victoria 3010
Australia
0061 3 9035 8177 (Phone)

HOME PAGE: http://orcid.org/0000-0002-5526-7648

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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