Arbeitspapier
How is generalized least squares related to within and between estimators in unbalanced panel data?
For a random effects regression model with unbalanced panel data, we demonstrate that the Generalized Least Squares (GLS) estimator can be expressed as a (matrix) weighted average of estimators which utilize the within individual and the between individual variation in the data set. We thus generalize a relationship familiar for balanced panel data. Specific attention must be given to the intercept of the regression. We also define an estimator containing the GLS, the within individual, and the between individual estimators for balanced and unbalanced data as special cases.
- Language
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Englisch
- Bibliographic citation
-
Series: Memorandum ; No. 2001,6
- Classification
-
Wirtschaft
Estimation: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Subject
-
Panel Data
Unbalanced panels
Missing observations
Random effects
Generalized Least Squares
Within estimation
Between estimation
- Event
-
Geistige Schöpfung
- (who)
-
Biørn, Erik
- Event
-
Veröffentlichung
- (who)
-
University of Oslo, Department of Economics
- (where)
-
Oslo
- (when)
-
2001
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
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
- 2001
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