Aggregation, Structural Change, and Cross-Section Estimation

Thomas M. Stoker
1985 Journal of the American Statistical Association  
This paper characterizes the local effects of parametric behavioral model change on relationships between aggregate variables, and presents consistent estimators of such effects using cross section data. Two equivalent interpretations of model change effects are given: an average-marginal" formulation and a cross section regression formulation. The relation between model change effects and maximum likelihood estimation of the behavioral parameters is explained. Finally, the question of whether
more » ... 2 (from a cross section OLS regression) is a general measure of the sensitivity of aggregate relationships to model change effects, is addressed.
doi:10.1080/01621459.1985.10478175 fatcat:n4ml6ttgnfgcpnh3amambsllca