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Title:Random coefficients in regression equation systems: The case with unbalanced panel data PDF Logo
Authors:Biørn, Erik
Issue Date:1999
Series/Report no.:Memorandum, Department of Economics, University of Oslo 1999,27
Abstract:We consider a framework for analyzing panel data characterized by: (i) a system of regressions equations, (ii) random individual heterogeneity in both intercepts and slope coefficients, and (iii) unbalanced panel data, i.e., panel data where the individual time series have unequal length. A Maximum Likelihood (ML) procedure for joint estimation of all parameters is described. Since it is complicated to implement in numerical calculations, we consider simplified procedures, in particular for estimating the covariance matrices of the random coefficients. An algorithm for modified ML estimation of all parameters is presented.
Subjects:Panel Data
Unbalanced Panels
Random Coefficients
Heterogeneity
Regression Equation Systems
Maximum Likelihood
JEL:C13
C23
C33
Document Type:Working Paper
Appears in Collections:Memorandum, Department of Economics, University of Oslo

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