Linear regression using both temporally aggregated and temporally disaggregated data: Revisited
Hang Qian · Munich Personal RePEc Archive (Ludwig Maximilian University of Munich) · 2010
This paper discusses regression models with aggregated covariate data. Reparameterized likelihood function is found to be separable when one endogenous variable corresponds to one instrument. In that case, the full-information maximum likelihood estimator has an analytic form, and thus outperforms the conventional imputed value two-step estimator in terms of both efficiency and computability. We also propose a competing Bayesian approach implemented by the Gibbs sampler, which is advantageous in more flexible settings where the likelihood does not have the separability property.