IDEAS home Printed from https://ideas.repec.org/a/ris/actuec/v80y2004i2p405-419.html
   My bibliography  Save this article

Une condition d’invariance du modèle de régression à coefficients aléatoires

Author

Listed:
  • Fisher, Gordon

    (Université Concordia)

Abstract

This paper develops an invariance condition for the random coefficients regression (RCR) model and thereby: (i) exends the results originally proposed by Rao (1965, 1967); (ii) provides a new proof of the equality of the direct and two-step estimators of the RCR model; and (iii) corrects a result claimed in McAleer (1992) for mixed models. Cet article développe une condition d’invariance du modèle de régression à coefficients aléatoires (RCA) et de cette façon permet : (i) d’étendre les résultats de Rao (1963, 1967)”; (ii) de fournir une nouvelle démonstration de l’égalité des estimateurs des moindres carrés généralisés directs et ceux en deux étapes du modèle RCA”; et (iii) de rectifier une proposition de McAleer (1992) pour les modèles mixtes.

Suggested Citation

  • Fisher, Gordon, 2004. "Une condition d’invariance du modèle de régression à coefficients aléatoires," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 405-419, Juin-Sept.
  • Handle: RePEc:ris:actuec:v:80:y:2004:i:2:p:405-419
    as

    Download full text from publisher

    File URL: http://id.erudit.org/iderudit/011393ar
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Gourieroux, Christian & Monfort, Alain, 1980. "Sufficient Linear Structures: Econometric Applications," Econometrica, Econometric Society, vol. 48(5), pages 1083-1097, July.
    2. Baksalary, Jerzy K. & Trenkler, Götz, 1989. "The Efficiency of OLS in a Seemingly Unrelated Regressions Model," Econometric Theory, Cambridge University Press, vol. 5(03), pages 463-465, December.
    3. BALESTRA, Pietro, 1970. "On the efficiency of ordinary least-squares in regression models," LIDAM Reprints CORE 71, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    4. Kapteyn, Arie & Fiebig, Denzil G., 1981. "When are two-stage and three-stage least squares estimators identical?," Economics Letters, Elsevier, vol. 8(1), pages 53-57.
    5. Kloek, T, 1981. "OLS Estimation in a Model Where a Microvariable Is Explained by Aggregates and Contemporaneous Disturbances Are Equicorrelated," Econometrica, Econometric Society, vol. 49(1), pages 205-207, January.
    6. McAleer, Michael, 1992. "Efficient Estimation: The Rao-Zyskind Condition, Kruskal's Theorem and Ordinary Least Squares," The Economic Record, The Economic Society of Australia, vol. 68(200), pages 65-72, March.
    7. MICHAEL McALEER, 1992. "Efficient Estimation: The Rao‐Zyskind Condition, Kruskal's Theorem and Ordinary Least Squares," The Economic Record, The Economic Society of Australia, vol. 68(1), pages 65-72, March.
    8. Dwivedi, T. D. & Srivastava, V. K., 1978. "Optimality of least squares in the seemingly unrelated regression equation model," Journal of Econometrics, Elsevier, vol. 7(3), pages 391-395, April.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Alan J. Rogers, 2013. "Concentration Ellipsoids, Their Planes of Support, and the Linear Regression Model," Econometric Reviews, Taylor & Francis Journals, vol. 32(2), pages 220-243, February.
    2. Heather L. Bednarek & Hailong Qian, 2016. "The optimality of non-optimal GMM estimation of parameters of interest and the partial asymptotic efficiency of 2SLS estimation," Economics Bulletin, AccessEcon, vol. 36(3), pages 1636-1649.
    3. MICHAEL McALEER, 1992. "Efficient Estimation: The Rao‐Zyskind Condition, Kruskal's Theorem and Ordinary Least Squares," The Economic Record, The Economic Society of Australia, vol. 68(1), pages 65-72, March.
    4. Hailong Qian & Heather L. Bednarek, 2015. "Partial efficient estimation of SUR models," Economics Bulletin, AccessEcon, vol. 35(1), pages 338-348.
    5. Nesrin Güler & Melek Eriş Büyükkaya & Melike Yiğit, 2022. "Comparison of Covariance Matrices of Predictors in Seemingly Unrelated Regression Models," Indian Journal of Pure and Applied Mathematics, Springer, vol. 53(3), pages 801-809, September.
    6. Lu, Cuicui & Schmidt, Peter, 2012. "Conditions for the numerical equality of the OLS, GLS and Amemiya–Cragg estimators," Economics Letters, Elsevier, vol. 116(3), pages 538-540.
    7. Chang, Chia-Lin & Franses, Philip Hans & McAleer, Michael, 2013. "Are forecast updates progressive?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 9-18.
    8. Chang, Chia-Lin & Franses, Philip Hans & McAleer, Michael, 2011. "How accurate are government forecasts of economic fundamentals? The case of Taiwan," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1066-1075, October.
    9. Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010. "Combining Non-Replicable Forecasts," Working Papers in Economics 10/35, University of Canterbury, Department of Economics and Finance.
    10. Franses, Ph.H.B.F. & McAleer, M.J. & Legerstee, R., 2010. "Evaluating Macroeconomic Forecast: A Review of Some Recent Developments," Econometric Institute Research Papers EI 2010-19, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    11. David G. Blanchflower & Andrew Oswald, 1995. "International Wage Curves," NBER Chapters, in: Differences and Changes in Wage Structures, pages 145-174, National Bureau of Economic Research, Inc.
    12. Laura Resmini, 2003. "Economic integration and regional patterns of industry location in transition countries," ERSA conference papers ersa03p399, European Regional Science Association.
    13. Linda S. Goldberg & Michael W. Klein, 1999. "International Trade and Factor Mobility: An Empirical Investigation," NBER Working Papers 7196, National Bureau of Economic Research, Inc.
    14. Hagemann, Andreas, 2019. "Placebo inference on treatment effects when the number of clusters is small," Journal of Econometrics, Elsevier, vol. 213(1), pages 190-209.
    15. Jose‐Maria Garcia‐Alvarez‐Coque & Francisco Mas‐Verdu & Mercedes Sanchez García, 2015. "Determinants of Agri‐food Firms’ Participation in Public Funded Research and Development," Agribusiness, John Wiley & Sons, Ltd., vol. 31(3), pages 314-329, June.
    16. Guido Porto, 2010. "International Market Access and Poverty in Argentina," Review of International Economics, Wiley Blackwell, vol. 18(2), pages 396-407, May.
    17. Yuqin Sun & Rong Ke & Yongge Tian, 2014. "Some overall properties of seemingly unrelated regression models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 98(2), pages 103-120, April.
    18. Renault, Éric & Rochet, Jean-Charles, 1997. "Les techniques quantitatives de la gestion de portefeuille," L'Actualité Economique, Société Canadienne de Science Economique, vol. 73(1), pages 265-310, mars-juin.
    19. Chisik, Richard & Davies, Ronald B., 2004. "Asymmetric FDI and tax-treaty bargaining: theory and evidence," Journal of Public Economics, Elsevier, vol. 88(6), pages 1119-1148, June.
    20. Porto, Guido G., 2006. "Using survey data to assess the distributional effects of trade policy," Journal of International Economics, Elsevier, vol. 70(1), pages 140-160, September.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:actuec:v:80:y:2004:i:2:p:405-419. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Benoit Dostie (email available below). General contact details of provider: https://edirc.repec.org/data/scseeea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.