Arbeitspapier
Inverse probability weighted estimation for general missing data problems
I study inverse probability weighted M-estimation under a general missing data scheme. The cases covered that do not previously appear in the literature include M-estimation with missing data due to a censored survival time, propensity score estimation of the average treatment effect for linear exponential family quasi-log-likelihood functions, and variable probability sampling with observed retainment frequencies. I extend an important result known to hold in special cases: estimating the selection probabilities is generally more efficient than if the known selection probabilities could be used in estimation. For the treatment effect case, the setup allows for a simple characterization of a double robustness result due to Scharfstein, Rotnitzky, and Robins (1999): given appropriate choices for the conditional mean function and quasi-log-likelihood function, only one of the conditional mean or selection probability needs to be correctly specified in order to consistently estimate the average treatment effect.
- Language
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Englisch
- Bibliographic citation
-
Series: cemmap working paper ; No. CWP05/04
- Classification
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Wirtschaft
Estimation: General
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Subject
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Inverse Probability Weighting , Sample Selection , M-Estimator , Censored Duration , Average Treatment Effect
Wahrscheinlichkeitsrechnung
Schätztheorie
- Event
-
Geistige Schöpfung
- (who)
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Wooldridge, Jeffrey M.
- Event
-
Veröffentlichung
- (who)
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Centre for Microdata Methods and Practice (cemmap)
- (where)
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London
- (when)
-
2004
- DOI
-
doi:10.1920/wp.cem.2004.0504
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Wooldridge, Jeffrey M.
- Centre for Microdata Methods and Practice (cemmap)
Time of origin
- 2004
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