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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Memorandum ; No. 1999,27
Classification
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
Estimation: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Subject
Panel Data
Unbalanced Panels
Random Coefficients
Heterogeneity
Regression Equation Systems
Maximum Likelihood
Regression
Panel
Theorie
Zufallsvariable
Unbalanced Panels
Random Coefficients
Heterogeneity
Regression Equation Systems
Maximum Likelihood
Regression
Panel
Theorie
Zufallsvariable
Event
Geistige Schöpfung
(who)
Biørn, Erik
Event
Veröffentlichung
(who)
University of Oslo, Department of Economics
(where)
Oslo
(when)
1999
- Handle
- Last update
-
20.09.2024, 8:22 AM CEST
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Biørn, Erik
- University of Oslo, Department of Economics
Time of origin
- 1999
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