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Author: | Butler, J. S. |
Title: | Efficiency results of MLE and GMM estimation with sampling weights |
Journal: | Journal of Econometrics
2000 : MAY, VOL. 96:1, p. 25-37 |
Index terms: | Heteroscedasticity Models |
Language: | eng |
Abstract: | This paper examines GMM and ML estimation of econometric models and the theory of Hausman tests with sampling weights. Taking into account the dependence of sampling weights on parameters improves the efficiency of estimation. |
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