Econometrica: Mar 1975, Volume 43, Issue 2

Some Estimation Methods for a Random Coefficient Model

https://doi.org/0012-9682(197503)43:2<305:SEMFAR>2.0.CO;2-L
p. 305-326

Cheng Hsiao

The model Y"it = @s"k (@b"k + @d"ik + @c"tk)@g"ikt + @e"it with @d"ik and @c"tk random is considered as a means of pooling the time series of a cross-section sample. The model is placed in a mixed analysis of variance framework. Relationships between various estimation criteria are derived and their asymptotic properties compared. Some implementation problems are also discussed.

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