Efficiency results of MLE and GMM estimation with sampling weights

DOI10.1016/S0304-4076(99)00049-4MaRDI QIDQ1973428zbMATH OpenFDO

Authors John Scott Butler

Publication date 17 September 2001

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0304-4076(99)00049-4

zbMATH Keywords

generalized method of momentsheteroscedasticitymaximum likelihoodsampling weights

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Recommendations

• Weighted Sampling, Maximum Likelihood and Minimum Divergence Estimators
• Maximum likelihood estimation in weighted sampling
• Parametric estimation from weighted samples
• Random weighting \(M\)-estimation for linear errors-in-variables models
• Efficiency properties of weighted mixed regression estimation
• GMM, maximum likelihood, and nonparametric efficiency
• Asymptotic Properties of Weighted M-estimators for variable probability samples

Cites work

• An Efficient Method of Moments Estimator for Discrete Choice Models With Choice-Based Sampling
• Case-control studies with contaminated controls
• scientific article; zbMATH DE number 3549966 (Why is no real title available?)
• scientific article; zbMATH DE number 3892349 (Why is no real title available?)
• Large Sample Properties of Generalized Method of Moments Estimators
• Maximum Likelihood Estimator for Choice-Based Samples
• Multiperiod Probit Models and Orthogonality Condition Estimation
• The Estimation of Choice Probabilities from Choice Based Samples

Cited in

(4)

• GMM redundancy results for general missing data problems
• MOMENT-BASED INFERENCE WITH STRATIFIED DATA
• A robust test of exogeneity based on quantile regressions
• Generalized method of moments (GMM) based inference with stratified samples when the aggregate shares are known

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