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Generalized method of moments (GMM) based inference with stratified samples when the aggregate shares are known

Listed author(s):
  • Tripathi, Gautam

We show how to do efficient moment based inference using the generalized method of moments (GMM) when data is collected by stratified sampling and the maintained assumption is that the aggregate shares are known.

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File URL: http://www.sciencedirect.com/science/article/pii/S030440761100162X
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 165 (2011)
Issue (Month): 2 ()
Pages: 258-265

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Handle: RePEc:eee:econom:v:165:y:2011:i:2:p:258-265
DOI: 10.1016/j.jeconom.2011.08.004
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Imbens, G. & Lancaster, T., 1991. "Efficient Estimation And Stratified Sampling," Harvard Institute of Economic Research Working Papers 1545, Harvard - Institute of Economic Research.
  2. Wooldridge, Jeffrey M., 2001. "Asymptotic Properties Of Weighted M-Estimators For Standard Stratified Samples," Econometric Theory, Cambridge University Press, vol. 17(02), pages 451-470, April.
  3. Imbens, G.W., 1990. "An Efficient Method of Moments Estimator for Discrete Choice Models with Choice-Based Sampling," Discussion Paper 1990-9, Tilburg University, Center for Economic Research.
  4. Cosslett, Stephen R, 1981. "Maximum Likelihood Estimator for Choice-Based Samples," Econometrica, Econometric Society, vol. 49(5), pages 1289-1316, September.
  5. Tripathi, Gautam, 2011. "Moment-Based Inference With Stratified Data," Econometric Theory, Cambridge University Press, vol. 27(01), pages 47-73, February.
  6. Severini, Thomas A. & Tripathi, Gautam, 2001. "A simplified approach to computing efficiency bounds in semiparametric models," Journal of Econometrics, Elsevier, vol. 102(1), pages 23-66, May.
  7. Manski, Charles F & Lerman, Steven R, 1977. "The Estimation of Choice Probabilities from Choice Based Samples," Econometrica, Econometric Society, vol. 45(8), pages 1977-1988, November.
  8. Butler, J. S., 2000. "Efficiency results of MLE and GMM estimation with sampling weights," Journal of Econometrics, Elsevier, vol. 96(1), pages 25-37, May.
  9. Chamberlain, Gary, 1987. "Asymptotic efficiency in estimation with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 34(3), pages 305-334, March.
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