The Variances of Regression Coefficient Estimates Using Aggregate Data

Roy E. Welsch and Edwin Kuh

No 60, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper considers the effect of aggregation on the variance of parameter estimates for a linear regression model with random coefficients and an additive error term. Aggregate and microvariances are compared and measures of relative efficiency are introduced. Necessary conditions for efficient aggregation procedures are obtained from the Theil aggregation weights and from measures of synchronization related to the work of Grunfeld and Griliches.

Date: 1974-10
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Published as Econometrica, Vol. 44, no. 2 (1976): 353-364.

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