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st: RE: Pooled OLS
When you pool a data set, you are assuming the pooled data set has
constant variance (homoscedasticity). The reason OLS might not be BLUE
is because the estimates are not efficient if heteroscedasticity is
present. Heteroscedasticity affects the standard errors, which affects
the T-statistics and your ability to conduct significance tests.
You can use a Chow test to determine if two data sets can be pooled.
Hope this helps.
Justin White
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Joanne
Marshall
Sent: Wednesday, January 17, 2007 7:20 AM
To: [email protected]
Subject: st: Pooled OLS
Dear fellow,
After reading excess amount of literature on pooled OLS regression, I
still
do not quite understand why its OLS might not be BLUE.
Can someone please interpret?
Thank you.
Cheers
Jo
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