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Aggregation in Linear Models for Panel Data
Journal of the Japan Statistical Society
We study the impact of individual and temporal aggregation in linear static and dynamic models for panel data in terms of i) model specification, ii) efficiency of the estimated parameters, and iii) the choice of the aggregation scheme. Model wise we find that i) individual aggregation does not affect the model structure but temporal aggregation may introduce residual autocorrelation, and ii) individual aggregation entails heteroscedasticity while temporal aggregation does not. Estimation anddoi:10.14490/jjss.40.063 fatcat:piw44omhtbecbgxykwmxk4wpqu