mean group estimator

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

cport
Posts: 2
Joined: Wed May 16, 2018 7:26 am

mean group estimator

Postby cport » Fri Jul 06, 2018 7:47 am

Dear Sir,

I am working with panel data with 11 countries. In order to estimate the MG estimator, I run 11 individual OLS regressions and calculated the unweighted average of the coefficients of each parameter in the model. How do I calculate the Standard Error of the Mean Group estimator? When presenting the MG estimator most authors include the SE as well.


And if I may ask a second question, besides my first method, that of estimating the individual regressions for each country, I also pooled the data and estimated the coefficients using the Pooled Least Squares Method and then manually I calculated the average of the coefficients to arrive at the MG estimator. When doing this, the coefficients are identical to the ones I got when I used the first method (and therefore also the MG) however the standard errors or the coefficients are different. Which SE should I present, the ones resulting from the individual regressions or the ones from the pooled regression?

Thank you

Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 4 guests