TY  - JOUR
AU  - Chamberlain,Gary
TI  - Multivariate Refression Models for Paned Data
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 8
PY  - 1980
Y2  - December 1980
UR  - http://www.nber.org/papers/t0008
L1  - http://www.nber.org/papers/t0008.pdf
N1  - Author contact info:
Gary Chamberlain
Department of Economics
Littauer Center 123
Harvard University
Cambridge, MA  02138
Tel: 617/495-1869
Fax: 617/495-8570
E-Mail: gary_chamberlain@harvard.edu
AB  - 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.
ER  -