The Variances of Regression Coefficient Estimates Using Aggregate Data
AbstractThis paper considers the effect of aggregation on the variance of parameter estimates for a linear regression model with random coefficients and an additive error term. Aggregate and microvariances are compared and measures of relative efficiency are introduced. Necessary conditions for efficient aggregation procedures are obtained from the Theil aggregation weights and from measures of synchronization related to the work of Grunfeld and Griliches.
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 0060.
Date of creation: Oct 1974
Date of revision:
Publication status: published as Econometrica, Vol. 44, no. 2 (1976): 353-364.
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