Title

Estimation of Models with Grouped and Ungrouped Data by Means of 2SLS

Author(s)

Phoebus J. Dhrymes Phoebus Dhrymes (Columbia University)

Adriana Lleras-Muney Adriana Lleras-Muney (Princeton University)

Abstract

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.

Creation Date

2004-03

Section URL ID

CHWB

Paper Number

31

URL

https://drive.google.com/a/princeton.edu/file/d/0BwjFN4HbBrDBakdNMmFHdU8zUEU/view

File Function

Jel

C10, C30, C43

Keyword(s)

Two-stage least squares, instrumental variables, grouped data, mixed two stage least squares, test of efficiency

Suppress

false

Series

9