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ASYMPTOTIC PROPERTIES OF WEIGHTED M-ESTIMATORS FOR STANDARD STRATIFIED SAMPLES

Published online by Cambridge University Press:  03 March 2001

Jeffrey M. Wooldridge
Jeffrey M. Wooldridge
Affiliation:
Michigan State University
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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.

Type
Research Article
Information
Econometric Theory , Volume 17 , Issue 2 , April 2001 , pp. 451 - 470
Copyright
© 2001 Cambridge University Press

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