First of all, interpretation of what is being estimated.
1. Fixed regressors:
implies that data is coming from well controled experiment. Regressors
(X's) are control variables and you estimate the response of the variable
under investigation (Y) to changes in control variables, i.e. you (or the
person who collected the data) were able to change values of X's and
observe the response of Y.
2. Random regressors.
Several cases here. (a) Cross-section data. Often You estimate Conditional
Expectation Function, E(Y|X). With assumption of E(U|X)=3D0 statistics of
this case
is not realy different from fixed regressors case, since you can always
condition on the data observed. (b) time-series case. You estimate Data
Generating Process. In most of the cases you cannot condition on the data
observed anymore (because then nothing random left in the model). You do
not have E(U|X)=3D0, but E(UX)=3D0, which is weaker and makes statistics a
little bit more complicated. (c) Cointegration. You estimate long-run
(steady-state) relationship between variables. You do not have dependent
and independent variables anymore, you do not have E(UX')=3D0 anymore
(actually, you do not need it , see Fully Modified Least Squares in
Davidson's book). Statistics of this case is completely different.
In my opinion, first, you have to decide what interpretation fits your
data most. Do you have experiment data or you are going to estimate
long-run relationship between the variables? After you have decided what
you are going to estimate you can choose appropriate technique.
On Sun, 28 Oct 2001, David B wrote:
>
> "Vadim and Oxana Marmer" <[EMAIL PROTECTED]> a =E9crit dans le messa=
ge
> news: [EMAIL PROTECTED]
> >
> > if you regress log of agregate consumption on log of GDP, woul you like=
to
> > treat log GDP as fixed regressor? I guess not. Fixed regressor implies =
a
> > lot of strong properties which is not reasonable to assume in this case=
=2E
> >
>
> What kind of properties if I may ask (I personnally never heard of such
> criteria) ? That could be an element of answer for me.
>
> David B
>
>
>
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