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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Memorandum ; No. 1999,20
- 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
- Subject
-
Panel Data
Unbalanced panels
Regression equation systems.
Maximum Likelihood
Heterogeneity
Covariance estimation
Regression
Panel
Theorie
Maximum-Likelihood-Methode
Korrelation
- Event
-
Geistige Schöpfung
- (who)
-
Biørn, Erik
- Event
-
Veröffentlichung
- (who)
-
University of Oslo, Department of Economics
- (where)
-
Oslo
- (when)
-
1999
- 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
- 1999
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