ASYMPTOTIC PROPERTIES OF WEIGHTED M-ESTIMATORS FOR STANDARD STRATIFIED SAMPLES

B-Tier
Journal: Econometric Theory
Year: 2001
Volume: 17
Issue: 2
Pages: 451-470

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

I provide a systematic treatment of the asymptotic properties of weighted M-estimators under standard stratified sampling. Simple, consistent asymptotic variance matrix estimators are proposed for a broad class of problems. When stratification is based on exogenous variables, I show that the usual, unweighted M-estimator is more efficient than the weighted estimator under a generalized conditional information matrix equality. Hausman tests for the exogeneity of the sampling scheme, including fully robust forms, are derived.

Technical Details

RePEc Handle
repec:cup:etheor:v:17:y:2001:i:02:p:451-470_17
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-29