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Asymptotic Properties of the Weighted Least Squares Estimator Under Moments Restriction

Author

Listed:
  • Bayram, Deniz
  • Dayé, Modeste

Abstract

The aim of this work is to review the paper by Hellerstein & Imbens (1982) focusing on the use of auxiliary data and a formal derivation of the asymptotic properties of the underlying Weighted Least Squares estimator.

Suggested Citation

  • Bayram, Deniz & Dayé, Modeste, 2014. "Asymptotic Properties of the Weighted Least Squares Estimator Under Moments Restriction," MPRA Paper 60465, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:60465
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    File URL: https://mpra.ub.uni-muenchen.de/60465/1/MPRA_paper_60465.pdf
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    References listed on IDEAS

    as
    1. Manuel A. Domínguez & Ignacio N. Lobato, 2004. "Consistent Estimation of Models Defined by Conditional Moment Restrictions," Econometrica, Econometric Society, vol. 72(5), pages 1601-1615, September.
    2. Judith K. Hellerstein & Guido W. Imbens, 1999. "Imposing Moment Restrictions From Auxiliary Data By Weighting," The Review of Economics and Statistics, MIT Press, vol. 81(1), pages 1-14, February.
    3. Guido W. Imbens & Tony Lancaster, 1994. "Combining Micro and Macro Data in Microeconometric Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(4), pages 655-680.
    4. Esmeralda A. Ramalho & Joaquim J. S. Ramalho, 2006. "Two‐Step Empirical Likelihood Estimation Under Stratified Sampling When Aggregate Information Is Available," Manchester School, University of Manchester, vol. 74(5), pages 577-592, September.
    5. Ridder, Geert & Moffitt, Robert, 2007. "The Econometrics of Data Combination," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 75, Elsevier.
    6. Manuel Arellano & Costas Meghir, 1992. "Female Labour Supply and On-the-Job Search: An Empirical Model Estimated Using Complementary Data Sets," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 59(3), pages 537-559.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    auxiliary data; asymptotic properties; WLS.;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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