Empirical likelihood (EL) is appropriate to estimate moment condition models when a random sample from the target population is available. However, many economic surveys are subject to some form of stratification, in which case direct application of EL will produce inconsistent estimators. In this paper we propose a two-step EL (TSEL) estimator to deal with stratified samples in models defined by unconditional moment restrictions in presence of some aggregate information, which may consist, for example, of the mean and the variance of the variable of interest and/or the explanatory variables. A Monte Carlo simulation study reveals promising results for many versions of the TSEL estimator.
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Paper provided by University of Évora, Department of Economics (Portugal) in its series Economics Working Papers with number
6_2005.
Find related papers by JEL classification: C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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