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1、NBERWORKINGPAPERSERIESWHATAREWEWEIGHTINGFOR?GarySolonStevenJ.HaiderJeffreyWooldridgeWorkingPaper18859http://www.nber.org/papers/w18859NATIONALBUREAUOFECONOMICRESEARCH1050MassachusettsAvenueCambridge,MA02138February2013WearegratefulforhelpfulcommentsfromDavidAutor,RajChetty,JohnDiNardo,Tod
2、dElder,MikeElsby,OsborneJackson,FabianLange,JasonLindo,JimZiliak,andseminarparticipantsattheUniversityofKentucky.TheviewsexpressedhereinarethoseoftheauthorsanddonotnecessarilyreflecttheviewsoftheNationalBureauofEconomicResearch.NBERworkingpapersarecirculatedfordiscussionandcommentpurposes
3、.Theyhavenotbeenpeer-reviewedorbeensubjecttothereviewbytheNBERBoardofDirectorsthataccompaniesofficialNBERpublications.©2013byGarySolon,StevenJ.Haider,andJeffreyWooldridge.Allrightsreserved.Shortsectionsoftext,nottoexceedtwoparagraphs,maybequotedwithoutexplicitpermissionprovidedthatfullcre
4、dit,including©notice,isgiventothesource.WhatAreWeWeightingFor?GarySolon,StevenJ.Haider,andJeffreyWooldridgeNBERWorkingPaperNo.18859February2013JELNo.C1ABSTRACTThepurposeofthispaperistohelpempiricaleconomiststhinkthroughwhenandhowtoweightthedatausedinestimation.Westartbydistinguishingtwopu
5、rposesofestimation:toestimatepopulationdescriptivestatisticsandtoestimatecausaleffects.Intheformertypeofresearch,weightingiscalledforwhenitisneededtomaketheanalysissamplerepresentativeofthetargetpopulation.Inthelattertype,theweightingissueismorenuanced.Wediscussthreedistinctpotentialmotiv
6、esforweightingwhenestimatingcausaleffects:(1)toachievepreciseestimatesbycorrectingforheteroskedasticity,(2)toachieveconsistentestimatesbycorrectingforendogenoussampling,and(3)toidentifyaveragepartialeffectsinthepresenceofunmodeledheterogeneityofeffects.Ineachcase,wefindthatthemotivesometi
7、mesdoesnotapplyinsituationswherepractitionersoftenassumeitdoes.Werecommenddiagnosticsforassessingtheadvisabilityofweighting,andwesuggestmethodsforappropriateinference.GarySolonJeffreyWooldridgeDepartmentofEconomicsDepartmentofEconomicsMichiganStateUniversityMichigan
