Multivariate Refression Models for Paned Data / Gary Chamberlain.

Format:

Book

Author/Creator:

Chamberlain, Gary.

Contributor:

National Bureau of Economic Research.

Series:

Technical Working Paper Series (National Bureau of Economic Research) no. t0008.

NBER technical working paper series no. t0008

Language:

English

Subjects (All):

Multivariate analysis.

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1980.

Cambridge, Mass. : National Bureau of Economic Research, 1980.

Summary:

Under stationarity, the heterogeneous stoahastic processes are the non-ergodic ones. We show that if a distributed lag is of finite order, then its coefficients are unconditional means of the underlying random coefficients. This result is applied to linear transformations of the process. The estimation framework is a multivariate wide-sense regression function. The identification analysis requires certain restrictions on the coefficients. The actual regression function is nonlinear, and so we provide a theory of inference for linear approximations. It rests on obtaining the asymptotic distribution of functions of sample moments. Restrictions are imposed by using a minimum distance estimator; it is generally more efficient than the conventional estimators.

Notes:

Print version record

December 1980.