We derive the efficiency loss from using grouped data to estimate coefficients of variables that vary across groups but not individuals within a group (e.g., state unemployment rates) when micro data are unavailable on the dependent variable. We present an empirical example of our theoretical results, and show that the efficiency loss in this application is small.
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Length: 9 pages Date of creation: Jun 1995 Date of revision: Publication status: Published in Computational Economics, 9:4, 355-361. Handle: RePEc:boc:bocoec:289
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Find related papers by JEL classification: C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
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Amemiya, Takeshi, 1978.
"A Note on a Random Coefficients Model,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 19(3), pages 793-96, October.
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