Asymptotic Properties of Weighted M-Estimators for Variable Probability Samples
I provide a systematic treatment of the asymptotic properties of weighted M-estimators under variable probability stratified sampling. The characterization of the sampling scheme and representation of the objective function allow for a straightforward analysis. Simple, consistent asymptotic variance matrix estimators are proposed. When stratification is based on exogenous variables, I show that the unweighted M-estimator is more efficient than the weighted estimator under a generalized conditional information matrix equality. When population frequencies are known, a more efficient weighting is possible. I also show how the results carry over to multinomial sampling.
Year of publication: |
1999
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Authors: | Wooldridge, Jeffrey M. |
Published in: |
Econometrica. - Econometric Society. - Vol. 67.1999, 6, p. 1385-1406
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Publisher: |
Econometric Society |
Saved in:
Saved in favorites
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