4 Citazioni (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.
Lingua originaleEnglish
pagine (da-a)119-141
Numero di pagine23
RivistaEconometric Reviews
Volume31
DOI
Stato di pubblicazionePubblicato - 2012

Keywords

  • Error components model
  • Seemingly unrelated regressions
  • Unbalanced panels

Fingerprint

Entra nei temi di ricerca di 'A NOTE ON TWO-WAY ECM ESTIMATION OF SUR SYSTEMS ON UNBALANCED PANEL DATA'. Insieme formano una fingerprint unica.

Cita questo