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Statistical properties of data stretching
Author(s) -
Greenberg E.,
Pollard W. A.,
Alpert W. T.
Publication year - 1989
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.3950040406
Subject(s) - estimator , statistics , econometrics , covariance , covariance matrix , mathematics , estimation , economics , management
This research examines the properties of an estimation procedure frequently used because observations on some variables are available only at higher levels of aggregation than others. When this occurs, data are often stretched by repeating observations on variables at higher levels of aggregation. We show that this procedure results in biased estimators of coefficients and error variances. Under some circumstances the estimation based on stretched data has a smaller covariance matrix than that based on aggregated data. Comparisons of mean squared errors depend on unknown coefficients.