Small sample properties of random coefficient regression estimators: a monte carlo simulation

Abstract

Data measured over time on a number of individuals are referred to in the econometrics literature as pooled cross-sectional and time series data. A number of methods have been suggested for analyzing pooled data. This paper examines the performance of Swamy's random coefficient regression model under a variety of assumptions. The behavior of estimators and tests in small samples is investigated with a Monte Carlo simulation.

Keywords:

• longitudinal data
• panel data
• pooling cross-sectional and time series data
• random coefficient regression