Application of the simultaneous least squares-probit Nelson-Olson covariance estimator for stratified surveys

The Nelson-Olsen covariance estimator of the simultaneous least squares-probit model is adjusted to accommodate probability based stratified surveys. A simultaneous model of body mass and the propensity to exercise provides an empirical example using stratified survey data.

► Application of a Nelson-Olsen estimator accommodates a stratified survey sample design. ► Standard error estimators were compared using survey data on body mass and exercise. ► Standard error estimates were adjusted downward for the linear estimator. ► Standard error estimates were adjusted upward for the probit estimator. ► The estimator is applicable to a variety of weighted econometric models.