SWAMY random coefficients estimator in panel data
Posted: Mon May 07, 2012 11:02 amThis is a revised version of the procedure for implementing the Swamy random coefficients estimator from Swamy(1970), "Efficient Inference in a Random Coefficient Regression Model", Econometrica, vol 38, no 2, pp 311-323. Compared with earlier versions, this adds several options, and also computes and saves the individual coefficients and covariance matrices. @MEANGROUP (http://www.estima.com/forum/viewtopic.php?f=7&t=1453) is a similar procedure which does pooled mean group (equally-weighted) estimates.
@Swamy( options ) depvar start end
# list of regressors
Options
DELTA=covariance matrix of beta(i)-beta [estimated from data]
SMPL=SMPL series [none]
TITLE=title for output ["Swamy Random Coefficients"]
[PRINT]/NOPRINT
DEFINE=equation to define [none]
Variables Defined
swamy.src- Procedure file - requires RATS 8.0
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@Swamy( options ) depvar start end
# list of regressors
Options
DELTA=covariance matrix of beta(i)-beta [estimated from data]
SMPL=SMPL series [none]
TITLE=title for output ["Swamy Random Coefficients"]
[PRINT]/NOPRINT
DEFINE=equation to define [none]
Variables Defined
| %BETA | estimates of mean of coefficient process |
| %XX | estimates of covariance matrix of mean coefficient |
| %%IBETAS | individual coefficients |
| %%IXX | individual covariance matrices. This is a VECTOR[SYMM] with %%IXX(i) as the covariance matrix for individual i |