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SWAMY: RATS procedure to compute a GLS matrix weighted estimator for a panel data set


  • Tom Doan


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Computes a GLS matrix weighted estimator for a panel data set. meangroup.src does a similar estimator, but uses simple weighted average rather than a matrix-weighted average. Swamy(1970), "Efficient Inference in a Random Coefficient Regression Model", Econometrica, vol 38, 311-323.

Suggested Citation

  • Tom Doan, "undated". "SWAMY: RATS procedure to compute a GLS matrix weighted estimator for a panel data set," Statistical Software Components RTS00206, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rts00206
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