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Identification with Averaged Data and Implications for Hedonic Regression Studies

João Santos Silva
José Ferreira Machado
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JEL Code 
C13 - Estimation
In this estimation of models with averaged data, weighted least squares is often used and recommended as a way of improving the efficiency of the estimator. However, if the size of the different groups is not conditionally independent of the regressand, consistent estimation may not be possible at all. It is argued that in the case of some leading examples of averaged data regression, consistent estimation is possible using the usual weighted estimator.
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