Inference in Conditional Moment Restriction Models When there is Selection Due to Stratification
Andreï Kostyrka and
Gautam Tripathi ()
A chapter in The Econometrics of Complex Survey Data, 2019, vol. 39, pp 137-171 from Emerald Publishing Ltd
Abstract We show how to use a smoothed empirical likelihood approach to conduct efficient semiparametric inference in models characterized as conditional moment equalities when data are collected by variable probability sampling. Results from a simulation experiment suggest that the smoothed empirical likelihood based estimator can estimate the model parameters very well in small to moderately sized stratified samples.
Keywords: Conditional moment models; smoothed empirical likelihood; stratification; variable probability sampling; endogenous and exogenous stratification; generalized method of moments (search for similar items in EconPapers)
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Working Paper: Inference in Conditional Moment Restriction Models when there is Selection due to Stratification (2017)
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