Econometrica: Mar 1976, Volume 44, Issue 2

The Variances of Regression Coefficient Estimates Using Aggregate Data

https://doi.org/0012-9682(197603)44:2<353:TVORCE>2.0.CO;2-P
p. 353-363

Edwin Kuh, Roy E. Welsch

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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