The Variances of Regression Coefficient Estimates Using Aggregate Data / Roy E. Welsch, Edwin Kuh.

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Welsch, Roy E

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Material type: Text

TextSeries: Working Paper Series (National Bureau of Economic Research) ; no. w0060.Publication details: Cambridge, Mass. National Bureau of Economic Research 1974.Description: 1 online resource: illustrations (black and white)Online resources:

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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 microvariances 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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Item type	Home library	Collection	Call number	Status	Date due	Barcode	Item holds
Working Paper	Biblioteca Digital	Colección NBER	nber w0060 (Browse shelf(Opens below))	Not For Loan

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October 1974.

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 microvariances 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.