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

Nevo, Aviv - 2001

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...

Persistent link: https://www.econbiz.de/10012470143

Combining Panel Data Sets with Attrition and Refreshment Samples

Hirano, Keisuke - 1998

In many fields researchers wish to consider statistical models that allow for more complex relationships than can be inferred using only cross-sectional data. Panel or longitudinal data where the same units are observed repeatedly at different points in time can often provide the richer data...

Persistent link: https://www.econbiz.de/10012472315

Consistent Estimation Using Data From More Than One Sample

Dickens, William T. - 1984

This paper considers the estimation of linear models when group average data from more than one sample is used. Conditions under which OL8 coefficient estimates are consistent are identified. The standard OL8 covariance estimate is shown to be inconsistent and a consistent estimator is proposed....

Persistent link: https://www.econbiz.de/10012477814

Sample Selection Bias As a Specification Error (with an Application to the Estimation of Labor Supply Functions)

Heckman, James J. - 1977

In this paper, I present a simple characterization of the sample selection bias problem that is also applicable to the conceptually distinct econometric problems that arise from truncated samples and from models with limited dependent variables. The problem of sample selection bias is fit within...

Persistent link: https://www.econbiz.de/10012478957

Using Samples of Unequal Length in Generalized Method of Moments Estimation

Lynch, Anthony W. - 2008

Many applications in financial economics use data series with different starting or ending dates. This paper describes estimation methods, based on the generalized method of moments (GMM), which make use of all available data for each moment condition. We introduce two asymptotically equivalent...

Persistent link: https://www.econbiz.de/10012464236

Simple Estimators for the Parameters of Discrete Dynamic Games (with Entry/Exit Samples)

Pakes, Ariel - 2004

This paper considers the problem of estimating the distribution of payoffs in a discrete dynamic game, focusing on models where the goal is to learn about the distribution of firms' entry and exit costs. The idea is to begin with non parametric first stage estimates of entry and continuation...

Persistent link: https://www.econbiz.de/10012468187

How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

Ait-Sahalia, Yacine - 2003

optimal sampling frequency at which to estimate the parameters of a discretely sampled continuous-time model can be finite … that sampling as often as possible is optimal. But, more surprisingly, we also demonstrate that this is true even if one …

Persistent link: https://www.econbiz.de/10012469087

The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions

Ait-Sahalia, Yacine - 2002

particular, we measure the additional effects of the randomness of the sampling intervals over and beyond those due to the … discreteness of the data. We also examine the effect of simply ignoring the sampling randomness. We find that in many situations … the randomness of the sampling has a larger impact than the discreteness of the data …

Persistent link: https://www.econbiz.de/10012469833

Maximum Likelihood Estimation of Discretely Sampled Diffusions : A Closed-Form Approach

Ait-Sahalia, Yacine - 1998

When a continuous-time diffusion is observed only at discrete dates, not necessarily close together, the likelihood function of the observations is in most cases not explicitly computable. Researchers have relied on simulations of sample paths in between the observations points, or numerical...

Persistent link: https://www.econbiz.de/10012472425

Conditioning on the Probability of Selection to Control Selection Bias

Angrist, Joshua D. - 1995

Problems of sample selection arise in the analysis of both experimental and non-experimental data. In clinical trials to evaluate the impact of an intervention on health and mortality, treatment assignment is typically nonrandom in a sample of survivors even if the original assignment is random....

Persistent link: https://www.econbiz.de/10012473744

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