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Identification with averaged data and implications for hedonic regression studies
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Identification with averaged data and implications for hedonic regression studies

JAF Machado and JMCS Silva
05/03/2003

Abstract

C13 Endogenous sampling Functional form Weighted least squares.
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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