Arbeitspapier
Random coefficients in regression equation systems: The case with unbalanced panel data
We consider a framework for analyzing panel data characterized by: (i) a system of regressions equations, (ii) random individual heterogeneity in both intercepts and slope coefficients, and (iii) unbalanced panel data, i.e., panel data where the individual time series have unequal length. A Maximum Likelihood (ML) procedure for joint estimation of all parameters is described. Since it is complicated to implement in numerical calculations, we consider simplified procedures, in particular for estimating the covariance matrices of the random coefficients. An algorithm for modified ML estimation of all parameters is presented.
- Sprache
-
Englisch
- Erschienen in
-
Series: Memorandum ; No. 1999,27
- Klassifikation
-
Wirtschaft
Estimation: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
- Thema
-
Panel Data
Unbalanced Panels
Random Coefficients
Heterogeneity
Regression Equation Systems
Maximum Likelihood
Regression
Panel
Theorie
Zufallsvariable
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Biørn, Erik
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Oslo, Department of Economics
- (wo)
-
Oslo
- (wann)
-
1999
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:22 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Biørn, Erik
- University of Oslo, Department of Economics
Entstanden
- 1999
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