Efficient Inference in a Random Coefficient Regression Model
AbstractComputes a GLS matrix weighted estimator for a panel data set. meangroup.src does a similar estimator, but uses simple weighted average rather than a matrix-weighted average. Swamy(1970), "Efficient Inference in a Random Coefficient Regression Model", Econometrica, vol 38, 311-323.
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Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 38 (1970)
Issue (Month): 2 (March)
Other versions of this item:
- Tom Doan, . "SWAMY: RATS procedure to compute a GLS matrix weighted estimator for a panel data set," Statistical Software Components RTS00206, Boston College Department of Economics.
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