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A NOTE ON IDENTIFICATION WITH AVERAGED DATA

Published online by Cambridge University Press:  15 March 2006

José A.F. Machado  and
J.M.C. Santos Silva
José A.F. Machado
Affiliation:
Faculdade de Economia, Universidade Nova de Lisboa
J.M.C. Santos Silva
Affiliation:
ISEG, Universidade Técnica de Lisboa
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Abstract

In most cases where estimation with averaged data is performed, interest lies on the parameters of a model at the individual level, but grouped data are used because disaggregate data are not observed. In this note we study the conditions under which it is possible to consistently estimate the parameters of the individual data model using averaged data, giving particular attention to the case of endogenous selection into groups.We are grateful to an anonymous referee for helpful comments and suggestions. We also thank Pedro Duarte Neves, Les Godfrey, Paulo Parente, Maximiano Pinheiro, and Pedro Portugal for helpful discussions. The usual disclaimer applies. Machado is consultant for the Research Department of Banco de Portugal. Santos Silva is grateful for the hospitality, working conditions, and financial support provided by Banco de Portugal, which made this work possible. The authors also gratefully acknowledge partial financial support from Fundação para a Ciência e Tecnologia, program POCTI, partially funded by FEDER.

Type
NOTES AND PROBLEMS
Information
Econometric Theory , Volume 22 , Issue 3 , June 2006 , pp. 537 - 541
Copyright
© 2006 Cambridge University Press

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References

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