Arbeitspapier
Estimating regression systems from unbalanced panel data: A stepwise maximum likelihood procedure
In this paper, we consider the formulation and estimation of systems of regression equations with random individual effects in the intercept terms from unbalanced panel data, i.e., panel data where the individual time series have unequal length. Generalized Least Squares (GLS) estimation and Maximum Likelihood (ML) estimation are discussed. A stepwise algorithm for solving the ML problem is developed.
- Sprache
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Englisch
- Erschienen in
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Series: Memorandum ; No. 1999,20
Estimation: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Unbalanced panels
Regression equation systems.
Maximum Likelihood
Heterogeneity
Covariance estimation
Regression
Panel
Theorie
Maximum-Likelihood-Methode
Korrelation
- Handle
- Letzte Aktualisierung
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20.09.2024, 08:21 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Biørn, Erik
- University of Oslo, Department of Economics
Entstanden
- 1999