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A Note On Identification With Averaged Data

Machado, Jose A F and Santos Silva, Joao M C (2006) 'A Note On Identification With Averaged Data.' Econometric Theory, 22 (03). pp. 537-541. ISSN 0266-4666

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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 Funda o para a Ci ncia e Tecnologia, program POCTI, partially funded by FEDER.

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 07 Aug 2012 11:49
Last Modified: 07 Aug 2012 11:49

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