Arbeitspapier
Accounting for Nonresponse Heterogeneity in Panel Data
The paper proposes a technique for the estimation of possibly nonlinear panel data models in the presence of heterogeneous unit nonresponse. Attrition or unit nonresponse in panel data usually renders parameter estimators inconsistent unless the unavailable information is missing completely at random. For moment based estimators this problem can be expressed in terms of the impossibility to construct the sample equivalents of the population moments of interest. However, if the attrition process is conditionally mean independent of the variables of interest then the sample equivalents of the population moments can be recovered by weighting the moment functions with the conditional response probability (or propensity score). The latter is usually unknown and has to be estimated. In the presence of nonresponse heterogeneity the propensity score can be estimated by conventional parametric estimation methods like the multinomial logit or probit model. The technique proposed in this paper leads to a moment estimator which simultaneously exploits the weighted moment functions of interest and the score function of the multinomial choice model. The use of simulated moments is discussed for applications with many nonresponse reasons. An applications of the estimator to firm level data is presented where the variables of interest are R&D investments related to product and process innovations.
- Sprache
-
Englisch
- Erschienen in
-
Series: CoFE Discussion Paper ; No. 01/03
- Klassifikation
-
Wirtschaft
- Thema
-
Panel
Stichprobenverfahren
Theorie
Nichtlineares Verfahren
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Inkmann, Joachim
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Konstanz, Center of Finance and Econometrics (CoFE)
- (wo)
-
Konstanz
- (wann)
-
2001
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-6711
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Inkmann, Joachim
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Entstanden
- 2001
Ähnliche Objekte (12)
Modeling Binary Panel Data with Nonresponse
Non-response in dynamic panel data models
Integrability of demand accounting for unobservable heterogeneity: A test on panel data
Climate change and U.S. agriculture: Accounting for multidimensional slope heterogeneity in panel data
Modelling low pay transition probabilities, accounting for panel attrition, non-response, and initial conditions
Modelling low pay transition probabilities, accounting for panel attrition, non-response, and initial conditions
Forecasting With Panel Data: Estimation Uncertainty Versus Parameter Heterogeneity
Panel data models with nonadditive unobserved heterogeneity: Estimation and inference
A New Panel Data Treatment for Heterogeneity in Time Trends
Synthetic Graphical Modelling of Binary Panel Data Subject to Non-response A Case Study
Heterogeneity in Item Non-Response on Income and Wealth Questions
Isn’t Something Missing? Latent Variable Models Accounting for Item Nonresponse
Modeling Binary Panel Data with Nonresponse
Non-response in dynamic panel data models
Integrability of demand accounting for unobservable heterogeneity: A test on panel data
Climate change and U.S. agriculture: Accounting for multidimensional slope heterogeneity in panel data
Modelling low pay transition probabilities, accounting for panel attrition, non-response, and initial conditions
Modelling low pay transition probabilities, accounting for panel attrition, non-response, and initial conditions
Forecasting With Panel Data: Estimation Uncertainty Versus Parameter Heterogeneity
Panel data models with nonadditive unobserved heterogeneity: Estimation and inference
A New Panel Data Treatment for Heterogeneity in Time Trends
Synthetic Graphical Modelling of Binary Panel Data Subject to Non-response A Case Study
Heterogeneity in Item Non-Response on Income and Wealth Questions
Isn’t Something Missing? Latent Variable Models Accounting for Item Nonresponse
Modeling Binary Panel Data with Nonresponse
Non-response in dynamic panel data models
Integrability of demand accounting for unobservable heterogeneity: A test on panel data
Climate change and U.S. agriculture: Accounting for multidimensional slope heterogeneity in panel data
Modelling low pay transition probabilities, accounting for panel attrition, non-response, and initial conditions
Modelling low pay transition probabilities, accounting for panel attrition, non-response, and initial conditions
Forecasting With Panel Data: Estimation Uncertainty Versus Parameter Heterogeneity
Panel data models with nonadditive unobserved heterogeneity: Estimation and inference
A New Panel Data Treatment for Heterogeneity in Time Trends
Synthetic Graphical Modelling of Binary Panel Data Subject to Non-response A Case Study
Heterogeneity in Item Non-Response on Income and Wealth Questions