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SWAMY: RATS procedure to compute a GLS matrix weighted estimator for a panel data set

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language RATS Abstract
Computes a GLS matrix weighted estimator for a panel data set. meangroup.src does a similar estimator, but uses simple weighted average rather than a matrix-weighted average. Swamy(1970), "Efficient Inference in a Random Coefficient Regression Model", Econometrica, vol 38, 311-323.

Suggested Citation

  • Tom Doan, "undated". "SWAMY: RATS procedure to compute a GLS matrix weighted estimator for a panel data set," Statistical Software Components RTS00206, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00206
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/swamy.src
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