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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Memorandum ; No. 2001,6
Klassifikation
Wirtschaft
Estimation: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Estimation: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Thema
Panel Data
Unbalanced panels
Missing observations
Random effects
Generalized Least Squares
Within estimation
Between estimation
Unbalanced panels
Missing observations
Random effects
Generalized Least Squares
Within estimation
Between estimation
Ereignis
Geistige Schöpfung
(wer)
Biørn, Erik
Ereignis
Veröffentlichung
(wer)
University of Oslo, Department of Economics
(wo)
Oslo
(wann)
2001
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:24 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
- 2001
Ähnliche Objekte (12)
Panel data estimators and aggregation
Estimating SUR systems wiht random coefficients: The unbalanced panel data case
Random coefficients in regression equation systems: The case with unbalanced panel data
Estimating regression systems from unbalanced panel data: A stepwise maximum likelihood procedure
The efficiency of panel data estimators: GLS versus estimators which do not depend on variance components
Serially correlated measurement errors in time series regression: The potential of instrumental variable estimators
Constructing Panel Data Estimators by Aggregation: A General Moment Estimator and a Suggested Synthesis
Age-cohort-time effects in sickness absence: Exploring a large data set by polynomial regression
Revisiting, from a Frischian point of view, the relationship between elasticities of intratemporal and intertemporal substitution
Panel data with measurement errors: Instrumental variables and GMM procedures combining levels and differences
Depreciation Profiles and the User Cost of Capital
Identifying age-cohort-time effects, their curvature and interactions from polynomials: Examples related to sickness absence
Panel data estimators and aggregation
Estimating SUR systems wiht random coefficients: The unbalanced panel data case
Random coefficients in regression equation systems: The case with unbalanced panel data
Estimating regression systems from unbalanced panel data: A stepwise maximum likelihood procedure
The efficiency of panel data estimators: GLS versus estimators which do not depend on variance components
Serially correlated measurement errors in time series regression: The potential of instrumental variable estimators
Constructing Panel Data Estimators by Aggregation: A General Moment Estimator and a Suggested Synthesis
Age-cohort-time effects in sickness absence: Exploring a large data set by polynomial regression
Revisiting, from a Frischian point of view, the relationship between elasticities of intratemporal and intertemporal substitution
Panel data with measurement errors: Instrumental variables and GMM procedures combining levels and differences
Depreciation Profiles and the User Cost of Capital
Identifying age-cohort-time effects, their curvature and interactions from polynomials: Examples related to sickness absence
Panel data estimators and aggregation
Estimating SUR systems wiht random coefficients: The unbalanced panel data case
Random coefficients in regression equation systems: The case with unbalanced panel data
Estimating regression systems from unbalanced panel data: A stepwise maximum likelihood procedure
The efficiency of panel data estimators: GLS versus estimators which do not depend on variance components
Serially correlated measurement errors in time series regression: The potential of instrumental variable estimators
Constructing Panel Data Estimators by Aggregation: A General Moment Estimator and a Suggested Synthesis
Age-cohort-time effects in sickness absence: Exploring a large data set by polynomial regression
Revisiting, from a Frischian point of view, the relationship between elasticities of intratemporal and intertemporal substitution
Panel data with measurement errors: Instrumental variables and GMM procedures combining levels and differences
Depreciation Profiles and the User Cost of Capital