Abstract
This article analyzes generalized method of moments estimation when the sample is not a random draw from the population of interest. Auxiliary information, in the form of moments from the population of interest, is exploited 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 to deal with heavy attrition of the original panel. It is shown how these additional samples can be used to adjust for sample selection.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 43-52 |
| Number of pages | 10 |
| Journal | Journal of Business and Economic Statistics |
| Volume | 21 |
| Issue number | 1 |
| DOIs | |
| State | Published - Jan 2003 |
Keywords
- Dutch Transportation Panel
- General method of moments
- Panel data
- Refreshment samples
ASJC Scopus subject areas
- Statistics and Probability
- Social Sciences (miscellaneous)
- Economics and Econometrics
- Statistics, Probability and Uncertainty