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GMM redundancy results for general missing data problems. / Prokhorov, Artem; Schmidt, Peter.

In: Journal of Econometrics, Vol. 151, No. 1, 01.07.2009, p. 47-55.

Research output: Contribution to journal › Article › peer-review

Harvard

Prokhorov, A & Schmidt, P 2009, 'GMM redundancy results for general missing data problems', Journal of Econometrics, vol. 151, no. 1, pp. 47-55. https://doi.org/10.1016/j.jeconom.2009.03.010

APA

Prokhorov, A., & Schmidt, P. (2009). GMM redundancy results for general missing data problems. Journal of Econometrics, 151(1), 47-55. https://doi.org/10.1016/j.jeconom.2009.03.010

Vancouver

Prokhorov A, Schmidt P. GMM redundancy results for general missing data problems. Journal of Econometrics. 2009 Jul 1;151(1):47-55. https://doi.org/10.1016/j.jeconom.2009.03.010

Author

Prokhorov, Artem ; Schmidt, Peter. / GMM redundancy results for general missing data problems. In: Journal of Econometrics. 2009 ; Vol. 151, No. 1. pp. 47-55.

BibTeX

@article{6b798695589144548dd7c4cad9acdbc5,
title = "GMM redundancy results for general missing data problems",
abstract = "We consider questions of efficiency and redundancy in the GMM estimation problem in which we have two sets of moment conditions, where two sets of parameters enter into one set of moment conditions, while only one set of parameters enters into the other. We then apply these results to a selectivity problem in which the first set of moment conditions is for the model of interest, and the second set of moment conditions is for the selection process. We use these results to explain the counterintuitive result in the literature that, under an ignorability assumption that justifies GMM with weighted moment conditions, weighting using estimated probabilities of selection is better than weighting using the true probabilities. We also consider estimation under an exogeneity of selection assumption such that both the unweighted and the weighted moment conditions are valid, and we show that when weighting is not needed for consistency, it is also not useful for efficiency.",
keywords = "Generalized method of moments, Inverse probability weighting, Missing at random, Selectivity",
author = "Artem Prokhorov and Peter Schmidt",
year = "2009",
month = jul,
day = "1",
doi = "10.1016/j.jeconom.2009.03.010",
language = "English",
volume = "151",
pages = "47--55",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier",
number = "1",

}

RIS

TY - JOUR

T1 - GMM redundancy results for general missing data problems

AU - Prokhorov, Artem

AU - Schmidt, Peter

PY - 2009/7/1

Y1 - 2009/7/1

N2 - We consider questions of efficiency and redundancy in the GMM estimation problem in which we have two sets of moment conditions, where two sets of parameters enter into one set of moment conditions, while only one set of parameters enters into the other. We then apply these results to a selectivity problem in which the first set of moment conditions is for the model of interest, and the second set of moment conditions is for the selection process. We use these results to explain the counterintuitive result in the literature that, under an ignorability assumption that justifies GMM with weighted moment conditions, weighting using estimated probabilities of selection is better than weighting using the true probabilities. We also consider estimation under an exogeneity of selection assumption such that both the unweighted and the weighted moment conditions are valid, and we show that when weighting is not needed for consistency, it is also not useful for efficiency.

AB - We consider questions of efficiency and redundancy in the GMM estimation problem in which we have two sets of moment conditions, where two sets of parameters enter into one set of moment conditions, while only one set of parameters enters into the other. We then apply these results to a selectivity problem in which the first set of moment conditions is for the model of interest, and the second set of moment conditions is for the selection process. We use these results to explain the counterintuitive result in the literature that, under an ignorability assumption that justifies GMM with weighted moment conditions, weighting using estimated probabilities of selection is better than weighting using the true probabilities. We also consider estimation under an exogeneity of selection assumption such that both the unweighted and the weighted moment conditions are valid, and we show that when weighting is not needed for consistency, it is also not useful for efficiency.

KW - Generalized method of moments

KW - Inverse probability weighting

KW - Missing at random

KW - Selectivity

UR - http://www.scopus.com/inward/record.url?scp=67349177775&partnerID=8YFLogxK

U2 - 10.1016/j.jeconom.2009.03.010

DO - 10.1016/j.jeconom.2009.03.010

M3 - Article

AN - SCOPUS:67349177775

VL - 151

SP - 47

EP - 55

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 1

ER -

ID: 36345428