Asymptotic properties of weighted <i>M</i>-estimators for standard stratified samples

作     者：Wooldridge, JM 

作者机构：Michigan State Univ E Lansing MI 48824 USA 

出 版 物：《ECONOMETRIC THEORY》 (计量经济学理论)

年 卷 期：2001年第17卷第2期

页      面：451-470页

核心收录：

学科分类：02[经济学] 0201[经济学-理论经济学] 0714[理学-统计学（可授理学、经济学学位）] 0701[理学-数学] 

主　　题：Consistent estimators Statistical variance Maximum likelihood estimation Maximum likelihood estimators Least squares Objective functions Population estimates Asymptotic properties 

摘      要：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.