SWAMY random coefficients estimator in panel data

[TomDoan]

This 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.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