Identification with averaged data and implications for hedonic regression studies

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.

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Year of publication:	2003-03-05
Authors:	Machado, J.A.F. ; Silva, J.M.C. Santos
Institutions:	EconWPA
Subject:	Endogenous sampling \| Functional form \| Weighted least squares

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Extent:	application/pdf
Series:	Econometrics.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; prepared on IBM PC; pages: 16 16 pages
Classification:	C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005119115