Accounting for Panel Attrition and Nonresponse in GMM-Estimation: A Matching of Moments Approach

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IZA Seminar

Place: Schaumburg-Lippe-Str. 9, 53113 Bonn

Date: 10.01.2006, 12:15 - 13:30


Presentation by 

Anton Flossmann (University of Konstanz)


This paper addresses GMM estimation when observations are missing at random, especially in the context of panel attrition and nonresponse. The usual approach of correcting for nonresponse under the assumption of conditional independence is inverse probability weighting. An alternative GMM estimator which involves nonparametric matching techniques is proposed and its asymptotic distribution is derived. Monte Carlo evidence suggests that by appropriate choice of the smoothing parameter, the semiparametric GMM estimator may outperform GMM estimation with inverse probability weighting.

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