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Moment Estimation with Attrition: An Application to Economic Models

John M. Abowd, Bruno Crépon and Francis Kramarz
Journal of the American Statistical Association
Vol. 96, No. 456 (Dec., 2001), pp. 1223-1231
Stable URL: http://www.jstor.org/stable/3085885
Page Count: 9
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Moment Estimation with Attrition: An Application to Economic Models
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Abstract

We study the effects of the attrition of firms from longitudinal samples on the estimates of dynamic labor demand models. The reasons for attrition from business-based longitudinal samples are extremely varied and are related to both the economic activity of the business and the methods of acquiring sampling frame information for those businesses. We do an exhaustive study of the available information regarding the attrition of French firms from our analysis sample. We propose flexible attrition models based on a longitudinal generalization of the missing at random assumption. We implement these models with a weighted generalized method of moments estimator that is consistent and efficient (in the class of moment estimators). Our flexible attrition models substantially alter and improve the estimation results for dynamic factor demand models. We attribute the improvement to the ability of our models to handle the very diverse reasons for attrition that our audit uncovered without requiring specific knowledge of which reason applies to a particular exiting firm.

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