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The Variances of Regression Coefficient Estimates Using Aggregate Data
Roy E. Welsch
Edwin Kuh
Abstract
This paper considers the effect of aggregation on the variance of parameter estimates for a linear regression model with random coefficients and an additive error term. Aggregate and micro variances are compared and measures of relative efficiency are introduced. Necessary conditions for efficient aggregation procedures are obtained from the Theil aggregation weights and from measures of synchronization related to the work of Grunfeld and Griliches.
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