Efficient Inference in a Random Coefficient Regression Model Export

@article{Swamy1970, abstract = {In this paper an attempt is made to estimate a regression equation using a time series of cross sections. It is assumed that the coefficient vector is distributed across units with the same mean and the same variance-covariance matrix. The distribution of the coefficient vector is assumed to be invariant to translations along the time axis. A consistent and an asymptotically efficient estimator for the mean vector and an unbiased estimator for the variance-covariance matrix of the coefficient vector have been suggested. Some asymptotic procedures for testing linear hypotheses on the means and the variances of coefficients have been described. Finally, the estimation procedure is applied in the analysis of annual investment data, 1935-54, for eleven firms.}, author = {Swamy, P. A. V. B.}, citeulike-article-id = {4007976}, citeulike-linkout-0 = {http://dx.doi.org/10.2307/1913012}, citeulike-linkout-1 = {http://www.jstor.org/stable/1913012}, doi = {10.2307/1913012}, issn = {00129682}, journal = {Econometrica}, keywords = {heterogeneous\_estimators, panel\_methods}, number = {2}, pages = {311--323}, posted-at = {2009-02-04 16:20:10}, priority = {2}, publisher = {The Econometric Society}, title = {Efficient Inference in a Random Coefficient Regression Model}, url = {http://dx.doi.org/10.2307/1913012}, volume = {38}, year = {1970} }

TY - JOUR ID - Swamy1970 L3 - citeulike-article-id:4007976 N2 - In this paper an attempt is made to estimate a regression equation using a time series of cross sections. It is assumed that the coefficient vector is distributed across units with the same mean and the same variance-covariance matrix. The distribution of the coefficient vector is assumed to be invariant to translations along the time axis. A consistent and an asymptotically efficient estimator for the mean vector and an unbiased estimator for the variance-covariance matrix of the coefficient vector have been suggested. Some asymptotic procedures for testing linear hypotheses on the means and the variances of coefficients have been described. Finally, the estimation procedure is applied in the analysis of annual investment data, 1935-54, for eleven firms. IS - 2 JF - Econometrica SN - 00129682 EP - 323 TI - Efficient Inference in a Random Coefficient Regression Model PB - The Econometric Society VL - 38 SP - 311 KW - heterogeneous_estimators KW - panel_methods AU - Swamy, PAVB PY - 1970/// UR - http://dx.doi.org/10.2307/1913012 ER -