Closed-form estimation and inference for panels with attrition and refreshment samples

TL;DR

This paper introduces a simple, closed-form estimator for panel data with attrition and refreshment samples, avoiding complex assumptions and computational challenges, and demonstrates its effectiveness through simulations and real data.

Contribution

It proposes a nonparametric, closed-form estimation method for panels with attrition, improving simplicity and robustness over existing approaches.

Findings

Estimator is consistent and asymptotically normal.

Performs well in simulation studies.

Successfully applied to income data from the Understanding America Study.

Abstract

It has long been established that, if a panel dataset suffers from attrition, auxiliary (refreshment) sampling restores full identification under additional assumptions that still allow for nontrivial attrition mechanisms. Such identification results rely on implausible assumptions about the attrition process or lead to theoretically and computationally challenging estimation procedures. We propose an alternative identifying assumption that, despite its nonparametric nature, suggests a simple estimation algorithm based on a transformation of the empirical cumulative distribution function of the data. This estimation procedure requires neither tuning parameters nor optimization in the first step, i.e., it has a closed form. We prove that our estimator is consistent and asymptotically normal and demonstrate its good performance in simulations. We provide an empirical illustration with income data from the Understanding America Study.