Estimation of Stationary Stochastic Coefficient Regression Models | ||
| The Egyptian Statistical Journal | ||
| Article 7, Volume 16, Issue 2, December 1972, Pages 189-201 PDF (8.23 M) | ||
| Document Type: Original Article | ||
| DOI: 10.21608/esju.1972.430587 | ||
| Authors | ||
| Farid E. Abdel-Badie* 1; Mohamed A. El-Wakeel2 | ||
| 1Institute of Statistical Studies and Research, Cairo University, Egypt. | ||
| 2National Institute of Management Development | ||
| Abstract | ||
| In this paper an attempt is made to estimate a regression equation using a time series of cross-sections. It is assumed that the stochastic coefficient regression vector is distributed across individuals with the same mean and the same variance-covariance matrix. The distribution of the stochastic coefficint regression vector is assumed to be invariant to translations along the time axis. This distribution is assumed to be stationary over time. It is assumed that the disturbance terms have zero expectation, constant variances from one period to another as well as the absence of any auto or serial correlation. In other words the disturbances are heteroscedastic. | ||
| Keywords | ||
| stochastic regression; time series; cross-sections; stochastic coefficient regression vector | ||
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