Econometrica Vol. 67 No. 6 1999
Asymptotic Properties of Weighted M-estimators for variable probability samples
Abstract
I provide a systematic treatment of the asymptotic properties of weighted M-estimators under variable probability stratified sampling. The characterization of the sampling scheme and representation of the objective function allow for a straightforward analysis. Simple, consistent asymptotic variance matrix estimators are proposed for a large class of problems. When stratification is based on exogenous variables, I show that the unweighted M-estimator is more efficient than the weighted estimator under a generalized conditional information matrix equality. When population frequencies are known, a more efficient weighting is possible. I also show how the results carry over to multinomial sampling.
- DOI
- 10.1111/1468-0262.00083
- Volume
- 67
- Issue
- 6
- Pages
- 1385-1406
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref