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Identification with Averaged Data and Implications for Hedonic Regression Studies

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Abstract

In this 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.

Suggested Citation

  • José Ferreira Machado, 2001. "Identification with Averaged Data and Implications for Hedonic Regression Studies," Working Papers w200110, Banco de Portugal, Economics and Research Department.
    • Handle: RePEc:ptu:wpaper:w200110
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    File URL: https://www.bportugal.pt/sites/default/files/anexos/papers/wp200110.pdf
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    1. repec:ptu:bdpart:a200210 is not listed on IDEAS
    2. Reis, Hugo J. & Santos Silva, J.M.C., 2006. "Hedonic prices indexes for new passenger cars in Portugal (1997-2001)," Economic Modelling, Elsevier, vol. 23(6), pages 890-908, December.

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    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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