Abstract
A particularly useful approach for analyzing pooled cross-sectional and time series data is Swamy's random coefficient regression (RCR) model. This paper examines the performance of estimators and tests associated with this model under the assumptions that a) all coefficients are random and b) some or all of the coefficients are fixed. The latter case is a misspecification of the pure random coefficient model. Performance of the RCR model is examined in both cases and recommendations are made from the results of the analyses. Comparisons are made with a classical pooling technique.
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