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Asymptotic Properties Of Weighted M-Estimators For Standard Stratified Samples

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  • Wooldridge, Jeffrey M.

Abstract

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.

Suggested Citation

  • Wooldridge, Jeffrey M., 2001. "Asymptotic Properties Of Weighted M-Estimators For Standard Stratified Samples," Econometric Theory, Cambridge University Press, vol. 17(2), pages 451-470, April.
    • Handle: RePEc:cup:etheor:v:17:y:2001:i:02:p:451-470_17
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