Abstract

This article considers the two-way error components model (ECM) estimation of seemingly unrelated regressions (SUR) on unbalanced panel by generalized least squares (GLS). As suggested by Biørn (2004) for the one-way case, in order to use the standard results for the balanced case the individuals are arranged in groups according to the number of times they are observed. Thus, the GLS estimator can be interpreted as a matrix weighted average of the group specific GLS estimators with weights equal to the inverse of their respective covariance matrices.
Original languageEnglish
Pages (from-to)119-141
Number of pages23
JournalEconometric Reviews
Volume31
DOIs
Publication statusPublished - 2012

Keywords

  • Error components model
  • Seemingly unrelated regressions
  • Unbalanced panels

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