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Title:Estimating regression systems from unbalanced panel data: A stepwise maximum likelihood procedure PDF Logo
Authors:Biørn, Erik
Issue Date:1999
Series/Report no.:Memorandum, Department of Economics, University of Oslo 1999,20
Abstract: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.
Subjects:Panel Data
Unbalanced panels
Regression equation systems.
Maximum Likelihood
Heterogeneity
Covariance estimation
JEL:C13
C23
C33
Document Type:Working Paper
Appears in Collections:Memorandum, Department of Economics, University of Oslo

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