Asymptotic Properties Of Weighted M-Estimators For Standard Stratified Samples
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.
Volume (Year): 17 (2001)
Issue (Month): 02 (April)
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