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

  • 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. Tripathi, Gautam, 2011. "Moment-Based Inference With Stratified Data," Econometric Theory, Cambridge University Press, vol. 27(01), pages 47-73, February.
  2. Cosslett, Stephen R, 1981. "Maximum Likelihood Estimator for Choice-Based Samples," Econometrica, Econometric Society, vol. 49(5), pages 1289-1316, September.
  3. Imbens, G.W., 1990. "An Efficient Method Of Moments Estimator For Descrete Choice Models With Choice-Based Sampling," Papers 9009, Tilburg - Center for Economic Research.
  4. Manski, Charles F & Lerman, Steven R, 1977. "The Estimation of Choice Probabilities from Choice Based Samples," Econometrica, Econometric Society, vol. 45(8), pages 1977-88, November.
  5. Chamberlain, Gary, 1987. "Asymptotic efficiency in estimation with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 34(3), pages 305-334, March.
  6. Imbens, G.W. & Lancaster, T., 1991. "Efficient estimation and stratified sampling," Discussion Paper 1991-45, Tilburg University, Center for Economic Research.
  7. 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.
  8. 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.
  9. 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.
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