SWAMY: RATS procedure to compute a GLS matrix weighted estimator for a panel data set
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 InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00206.
Programming language: RATS
Requires: RATS 7.30
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Other versions of this item:
- Swamy, P A V B, 1970. "Efficient Inference in a Random Coefficient Regression Model," Econometrica, Econometric Society, vol. 38(2), pages 311-23, March.
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