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Identification with averaged data and implications for hedonic regression studies

Author

Listed:
  • J.A.F. Machado

    (Faculdade de Economia, Universidade Nova de Lisboa)

  • J.M.C. Santos Silva

    (ISEG, Universidade T\U{e9}cnica de Lisboa)

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.

Suggested Citation

  • J.A.F. Machado & J.M.C. Santos Silva, 2003. "Identification with averaged data and implications for hedonic regression studies," Econometrics 0303002, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpem:0303002
    Note: Type of Document - pdf; prepared on IBM PC; pages: 16
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    References listed on IDEAS

    as
    1. Kenneth Brown, 2000. "Hedonic price indexes and the distribution of buyers across the product space: an application to mainframe computers," Applied Economics, Taylor & Francis Journals, vol. 32(14), pages 1801-1808.
    2. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    3. 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.
    4. 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 149-170, February.
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    3. 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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