| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/t0008
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| 来源ID | Technical Working Paper 0008
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| Multivariate Refression Models for Paned Data |
| Gary Chamberlain
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| 发表日期 | 1980-12-01
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| 出版年 | 1980
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| 语种 | 英语
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| 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. |
| URL | https://www.nber.org/papers/t0008
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/557780
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推荐引用方式
GB/T 7714 |
Gary Chamberlain. Multivariate Refression Models for Paned Data. 1980.
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文件名：
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t0008.pdf
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格式：
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Adobe PDF
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