A NOTE ON TWO-WAY ECM ESTIMATION OF SUR SYSTEMS ON UNBALANCED PANEL DATA

Silvia Platoni; Paolo Sckokai; Daniele Moro

doi:10.1080/07474938.2011.607098

A NOTE ON TWO-WAY ECM ESTIMATION OF SUR SYSTEMS ON UNBALANCED PANEL DATA

Silvia Platoni, Paolo Sckokai, Daniele Moro

Research output: Contribution to journal › Article › peer-review

4 Citations (Scopus)

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 language	English
Pages (from-to)	119-141
Number of pages	23
Journal	Econometric Reviews
Volume	31
DOIs	https://doi.org/10.1080/07474938.2011.607098
Publication status	Published - 2012

Keywords

Error components model
Seemingly unrelated regressions
Unbalanced panels

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10.1080/07474938.2011.607098

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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 Bi{\o}rn (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.",

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AU - Moro, Daniele

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AB - 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.

KW - Error components model

KW - Seemingly unrelated regressions

KW - Unbalanced panels

KW - Error components model

KW - Seemingly unrelated regressions

KW - Unbalanced panels

UR - http://hdl.handle.net/10807/10595

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VL - 31

SP - 119

EP - 141

JO - Econometric Reviews

JF - Econometric Reviews

ER -

A NOTE ON TWO-WAY ECM ESTIMATION OF SUR SYSTEMS ON UNBALANCED PANEL DATA

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Keywords

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