© 1971

Statistical Inference in Random Coefficient Regression Models


Part of the Lecture Notes in Operations Research and Mathematical Systems book series (LNE, volume 55)

Table of contents

  1. Front Matter
    Pages I-VIII
  2. P. A. V. B. Swamy
    Pages 1-23
  3. P. A. V. B. Swamy
    Pages 156-175
  4. P. A. V. B. Swamy
    Pages 191-203
  5. Back Matter
    Pages 204-212

About this book


This short monograph which presents a unified treatment of the theory of estimating an economic relationship from a time series of cross-sections, is based on my Ph. D. dissertation submitted to the University of Wisconsin, Madison. To the material developed for that purpose, I have added the substance of two subsequent papers: "Efficient methods of estimating a regression equation with equi-correlated disturbances", and "The exact finite sample properties of estimators of coefficients in error components regression models" (with Arora) which form the basis for Chapters 11 and III respectively. One way of increasing the amount of statistical information is to assemble the cross-sections of successive years. To analyze such a body of data the traditional linear regression model is not appropriate and we have to introduce some additional complications and assumptions due to the hetero­ geneity of behavior among individuals. These complications have been discussed in this monograph. Limitations of economic data, particularly their non-experimental nature, do not permit us to know a priori the correct specification of a model. I have considered several different sets of assumptionR about the stability of coeffi­ cients and error variances across individuals and developed appropriate inference procedures. I have considered only those sets of assumptions which lead to opera­ tional procedures. Following the suggestions of Kuh, Klein and Zellner, I have adopted the linear regression models with some or all of their coefficients varying randomly across individuals.


Investment calculus efficiency management sets statistical inference time series

Authors and affiliations

  1. 1.Department of EconomicsOhio State UniversityColumbusUSA

Bibliographic information

  • Book Title Statistical Inference in Random Coefficient Regression Models
  • Authors P.A.V.B. Swamy
  • Series Title Lecture Notes in Operations Research and Mathematical Systems
  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 1971
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Softcover ISBN 978-3-540-05603-4
  • eBook ISBN 978-3-642-80653-7
  • Series ISSN 0075-8442
  • Edition Number 1
  • Number of Pages VIII, 210
  • Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
  • Topics Economic Theory/Quantitative Economics/Mathematical Methods
  • Buy this book on publisher's site
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