Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/63201 
Authors: 
Year of Publication: 
2001
Series/Report no.: 
Memorandum No. 2001,6
Publisher: 
University of Oslo, Department of Economics, Oslo
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
JEL: 
C13
C23
Document Type: 
Working Paper

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