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Title:How is generalized least squares related to within and between estimators in unbalanced panel data? PDF Logo
Authors:Biørn, Erik
Issue Date:2001
Series/Report no.:Memorandum, Department of Economics, University of Oslo 2001,6
Abstract:For a random effects regression model with unbalanced panel data, we demonstrate that the Generalized Least Squares (GLS) estimator can be expressed as a (matrix) weighted average of estimators which utilize the within individual and the between individual variation in the data set. We thus generalize a relationship familiar for balanced panel data. Specific attention must be given to the intercept of the regression. We also define an estimator containing the GLS, the within individual, and the between individual estimators for balanced and unbalanced data as special cases.
Subjects:Panel Data
Unbalanced panels
Missing observations
Random effects
Generalized Least Squares
Within estimation
Between estimation
Document Type:Working Paper
Appears in Collections:Memoranda, Department of Economics, University of Oslo

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