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

  • Fisher, Gordon

    (Université Concordia)

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    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.

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    File URL: http://id.erudit.org/iderudit/011393ar
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    Article provided by Société Canadienne de Science Economique in its journal L'Actualité économique.

    Volume (Year): 80 (2004)
    Issue (Month): 2 (Juin-Septembre)
    Pages: 405-419

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    Handle: RePEc:ris:actuec:v:80:y:2004:i:2:p:405-419
    Contact details of provider: Web page: http://www.scse.ca/
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    1. 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.
    2. 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.
    3. 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 205-07, January.
    4. Gourieroux, Christian & Monfort, Alain, 1980. "Sufficient Linear Structures: Econometric Applications," Econometrica, Econometric Society, vol. 48(5), pages 1083-97, July.
    5. 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.
    6. 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.
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