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Asymptotic Properties Of Weighted M-Estimators For Standard Stratified Samples

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Author Info
Wooldridge, Jeffrey M.
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.

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File URL: http://journals.cambridge.org/abstract_S0266466601172075
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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 17 (2001)
Issue (Month): 02 (April)
Pages: 451-470
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Handle: RePEc:cup:etheor:v:17:y:2001:i:02:p:451-470_17

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