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Simple estimators for nonparametric panel data models with sample attrition
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DOI：10.1016/S0304-4076(03)00210-0.png)
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Abstract
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This paper considers a multiperiod random effects panel model with attrition of observations over the panel, allowing for flexible regressions, unknown distributions and attrition in one period to be followed by reappearance in a future period. In each time period, the regression in the retained data is additive in the function of interest and a time-varying correction term that depends on the contemporaneous probability of retention in the sample. These retention probabilities themselves depend on a regressor vector that grows with time. In particular, for the tth and (t + s)th periods, these vectors differ by exactly s terms. The paper gives two-step estimators that correct for attrition bias by including estimates of these retention probabilities, one for each period that experiences attrition. Asymptotic normality for a class of functionals of the model is derived, also including as special cases the linear and partially linear versions of the model. (C) 2003 Elsevier B.V. All rights reserved.
Keywords:
attrition
selection on unobservables
nonparametric estimation
panel data
random effects
two-step estimation
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