Identification with averaged data and implications for hedonic regression studies

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Identification with averaged data and implications for hedonic regression studies

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J.A.F. Machado (Faculdade de Economia, Universidade Nova de Lisboa)
J.M.C. Santos Silva (ISEG, Universidade T\U{e9}cnica de Lisboa)

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Abstract

In the estimation of models with averaged data, weighted least squares is often used and recommended as a way of improving the efficiency of the estimator. However, if the size of the different groups is not conditionally independent of the regressand, consistent estimation may not be possible at all. It is argued that in the case of some leading examples of averaged data regression, consistent estimation is possible using the usual weighted estimator.

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Paper provided by EconWPA in its series Econometrics with number 0303002.

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Length: 16 pages
Date of creation: 05 Mar 2003
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Handle: RePEc:wpa:wuwpem:0303002

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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation

This paper has been announced in the following NEP Reports:

NEP-ALL-2003-03-10 (All new papers)
NEP-ECM-2003-03-13 (Econometrics)

References listed on IDEAS
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White, Halbert, 1980. "Using Least Squares to Approximate Unknown Regression Functions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(1), pages 149-70, February. [Downloadable!] (restricted)
White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May. [Downloadable!] (restricted)
Wooldridge, Jeffrey M., 1991. "On the application of robust, regression- based diagnostics to models of conditional means and conditional variances," Journal of Econometrics, Elsevier, vol. 47(1), pages 5-46, January. [Downloadable!] (restricted)
Brown, Kenneth H, 2000. "Hedonic Price Indexes and the Distribution of Buyers across the Product Space: An Application to Mainframe Computers," Applied Economics, Taylor and Francis Journals, vol. 32(14), pages 1801-08, November. [Downloadable!] (restricted)

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