Inverse Probability Weighted Generalised Empirical Likelihood Estimators

Firm Size and R&D Revisited

J. Inkmann

Research output: Working paperDiscussion paperOther research output

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Abstract

The inverse probability weighted Generalised Empirical Likelihood (IPW-GEL) estimator is proposed for the estimation of the parameters of a vector of possibly non-linear unconditional moment functions in the presence of conditionally independent sample selection or attrition.The estimator is applied to the estimation of the firm size elasticity of product and process R&D expenditures using a panel of German manufacturing firms, which is affected by attrition and selection into R&D activities.IPW-GEL and IPW-GMM estimators are compared in this application as well as identification assumptions based on independent and conditionally independent sample selection.The results are similar in all specifications.
Original languageEnglish
Place of PublicationTilburg
PublisherFinance
Number of pages24
Volume2005-131
Publication statusPublished - 2005

Publication series

NameCentER Discussion Paper
Volume2005-131

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Firm size
Generalized empirical likelihood
Estimator
Attrition
Sample selection
Elasticity
Manufacturing firms
GMM estimator
Expenditure

Keywords

  • research and development
  • generalised emperical likelihood
  • inverse probability weighting
  • propensity score
  • conditional independence
  • missing at random
  • selection
  • attrition

Cite this

Inkmann, J. (2005). Inverse Probability Weighted Generalised Empirical Likelihood Estimators: Firm Size and R&D Revisited. (CentER Discussion Paper; Vol. 2005-131). Tilburg: Finance.
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abstract = "The inverse probability weighted Generalised Empirical Likelihood (IPW-GEL) estimator is proposed for the estimation of the parameters of a vector of possibly non-linear unconditional moment functions in the presence of conditionally independent sample selection or attrition.The estimator is applied to the estimation of the firm size elasticity of product and process R&D expenditures using a panel of German manufacturing firms, which is affected by attrition and selection into R&D activities.IPW-GEL and IPW-GMM estimators are compared in this application as well as identification assumptions based on independent and conditionally independent sample selection.The results are similar in all specifications.",
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Inkmann, J 2005 'Inverse Probability Weighted Generalised Empirical Likelihood Estimators: Firm Size and R&D Revisited' CentER Discussion Paper, vol. 2005-131, Finance, Tilburg.

Inverse Probability Weighted Generalised Empirical Likelihood Estimators : Firm Size and R&D Revisited. / Inkmann, J.

Tilburg : Finance, 2005. (CentER Discussion Paper; Vol. 2005-131).

Research output: Working paperDiscussion paperOther research output

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