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.

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Year of publication:	1999
Authors:	Biørn, Erik
Publisher:	Oslo : University of Oslo, Department of Economics
Subject:	Regression \| Panel \| Theorie \| Maximum-Likelihood-Methode \| Korrelation \| Panel Data \| Unbalanced panels \| Regression equation systems. \| Maximum Likelihood \| Heterogeneity \| Covariance estimation

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Series:	Memorandum ; 1999,20
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	323423752 [GVK] hdl:10419/63162 [Handle]
Classification:	C13 - Estimation ; C23 - Models with Panel Data ; C33 - Models with Panel Data
Source:	EconStor

Persistent link: https://www.econbiz.de/10010284445