G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/t0008
来源IDTechnical Working Paper 0008
Multivariate Refression Models for Paned Data
Gary Chamberlain
发表日期1980-12-01
出版年1980
语种英语
摘要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.
URLhttps://www.nber.org/papers/t0008
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/557780
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GB/T 7714
Gary Chamberlain. Multivariate Refression Models for Paned Data. 1980.
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