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Asymptotic Properties of Weighted M-Estimators for Variable Probability Samples

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Author Info
Jeffrey M. Wooldridge

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Abstract

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.

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Publisher Info
Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 67 (1999)
Issue (Month): 6 (November)
Pages: 1385-1406
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Handle: RePEc:ecm:emetrp:v:67:y:1999:i:6:p:1385-1406

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