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Type: cemmap Working Papers Authors: Jeffrey M. Wooldridge ISSN: 1753-9196
Volume, issue, pages: 42 pp.
JEL classification: C13, C21, C23
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. Search |
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