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Authors
Advisor(s)
Abstract(s)
In the estimation of models with averaged data, weighted least squares is often
used and recommended as a way of improving the e¢ciency of the estimator.
However, if the size of the di¤erent 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.
Description
Keywords
Endogenous Sampling Functional Form Weighted Least Squares
Pedagogical Context
Citation
Silva, João Santos e José Machado .2010. “Identification with averaged data and implications for hedonic regression studies” . Banco de Portugal. Economic Research Department. Working Papers nº 10/ 2010