Econometrica · 1970 · 2.2K citations · 5 references
Natural SciencesBiostatisticsEconometricsStatistical ModelingStatisticsEstimation TheoryInferential StatisticsPanel Data AnalysisPanel Data MethodsRandom-effects ModelsStatistical InferenceEfficient EstimationPanel Data EstimationPanel Data RegressionPanel Regression ModelsRandom Coefficient ModelsRandom Coefficients ModelsStatistical EfficiencyWithin-group Estimation
Computes a GLS matrix weighted estimator for a panel data set. meangroup.src does a similar estimator, but uses simple weighted average rather than a matrix-weighted average. Swamy(1970), Efficient Inference in a Random Coefficient Regression Model, Econometrica, vol 38, 311-323. (This abstract was borrowed from another version of this item.)
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