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Estimation of models with grouped and ungrouped data by means of "2SLS"

Dhrymes, Phoebus J.; Lleras-Muney, Adriana

This paper deals with a special case of estimation with grouped data, where the dependent variable is only available for groups, whereas the endogenous regressor(s) is available at the individual level. By estimating the first stage using the available individual data, and then estimating the second stage at the aggregate level, it might be possible to gain efficiency relative to the OLS and 2SLS estimators that use only grouped data. We term this the Mixed- 2SLS estimator (M2SLS). The M2SLS estimator is consistent and asymptotically normal. We also provide a test of efficiency of M2SLS relative to OLS and "2SLS" estimators.

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Academic Units
Economics
Publisher
Department of Economics, Columbia University
Series
Department of Economics Discussion Papers, 0304-16
Published Here
March 24, 2011

Notes

March 2004

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