@techreport{Wooldridge2004Inverse,
abstract = {I study inverse probability weighted M-estimation under a general missing data scheme. The cases covered that do not previously appear in the literature include M-estimation with missing data due to a censored survival time, propensity score estimation of the average treatment effect for linear exponential family quasi-log-likelihood functions, and variable probability sampling with observed retainment frequencies. I extend an important result known to hold in special cases: estimating the selection probabilities is generally more efficient than if the known selection probabilities could be used in estimation. For the treatment effect case, the setup allows for a simple characterization of a double robustness result due to Scharfstein, Rotnitzky, and Robins (1999): given appropriate choices for the conditional mean function and quasi-log-likelihood function, only one of the conditional mean or selection probability needs to be correctly specified in order to consistently estimate the average treatment effect.},
address = {London},
author = {Jeffrey M. Wooldridge},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
doi = {10.1920/wp.cem.2004.0504},
keywords = {C13; C21; C23; 330; Inverse Probability Weighting , Sample Selection , M-Estimator , Censored Duration , Average Treatment Effect; Wahrscheinlichkeitsrechnung; Sch\"{a}tztheorie},
language = {eng},
number = {CWP05/04},
publisher = {Centre for Microdata Methods and Practice (cemmap)},
title = {Inverse probability weighted estimation for general missing data problems},
type = {cemmap working paper},
url = {https://hdl.handle.net/10419/79298},
year = {2004}
}