Statistical Properties of Data Stretching
AbstractThis research examines the properties of an estimation procedure frequently used because observations on some variables are available only at higher levels of aggregation than others. When this occurs, data are often stretched by repeating observations on variables at higher levels of aggregation. We show that this procedure results in biased estimators of coefficients and error variances. Under some circumstances the estimation based on stretched data has a smaller covariance matrix than that based on aggregated data. Comparisons of mean squared errors depend on unknown coefficients. Copyright 1989 by John Wiley & Sons, Ltd.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.
Volume (Year): 4 (1989)
Issue (Month): 4 (Oct.-Dec.)
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Web page: http://www.interscience.wiley.com/jpages/0883-7252/
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