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

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  • Tripathi, Gautam

Abstract

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.

Suggested Citation

  • Tripathi, Gautam, 2011. "Generalized method of moments (GMM) based inference with stratified samples when the aggregate shares are known," Journal of Econometrics, Elsevier, vol. 165(2), pages 258-265.
  • Handle: RePEc:eee:econom:v:165:y:2011:i:2:p:258-265 DOI: 10.1016/j.jeconom.2011.08.004
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    References listed on IDEAS

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    1. Imbens, Guido W, 1992. "An Efficient Method of Moments Estimator for Discrete Choice Models with Choice-Based Sampling," Econometrica, Econometric Society, vol. 60(5), pages 1187-1214, September.
    2. Tripathi, Gautam, 2011. "Moment-Based Inference With Stratified Data," Econometric Theory, Cambridge University Press, vol. 27(01), pages 47-73, February.
    3. Chamberlain, Gary, 1987. "Asymptotic efficiency in estimation with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 34(3), pages 305-334, March.
    4. Cosslett, Stephen R, 1981. "Maximum Likelihood Estimator for Choice-Based Samples," Econometrica, Econometric Society, vol. 49(5), pages 1289-1316, September.
    5. 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.
    6. Imbens, Guido W. & Lancaster, Tony, 1996. "Efficient estimation and stratified sampling," Journal of Econometrics, Elsevier, pages 289-318.
    7. 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.
    8. 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.
    9. 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.
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    More about this item

    Keywords

    Generalized method of moments; GMM; Stratified sampling;

    JEL classification:

    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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