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Inverse probability weighted M-estimators for sample selection, attrition and stratification

Authors: Jeffrey M. Wooldridge
Date: 01 March 2002
Type: cemmap Working Paper, CWP11/02
DOI: 10.1920/wp.cem.2002.1102

Abstract

I provide an overview of inverse probability weighted (IPW) M-estimators for cross section and two-period panel data applications. Under an ignorability assumption, I show that population parameters are identified, and provide straightforward √N-consistent and asymptotically normal estimation methods. I show that estimating a binary response selection model by conditional maximum likelihood leads to a more efficient estimator than using known probabilities, a result that unifies several disparate results in the literature. But IPW estimation is not a panacea: in some important cases of nonresponse, unweighted estimators will be consistent under weaker ignorability assumptions.

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