On the equivalence of pooled and mixed estimation |
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Authors: | A Buse |
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Institution: | (1) Department of Economics, University of Alberta, T6G 2H4 Edmonton, Alberta, Canada |
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Abstract: | The mixed estimator which uses sample moments from a cross-section as a stochastic restriction in a time series equation is
shown to be identical to the efficient pooled estimator. It is also shown that Theil's compatibility test statistic is identical
to the Wald test for the validity of pooling.
As usual I have had much good advice from Noxy Dastoor, some of which I have ignored. |
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Keywords: | |
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