Memorandum, Department of Economics, University of Oslo 1999,20
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.
Panel Data Unbalanced panels Regression equation systems. Maximum Likelihood Heterogeneity Covariance estimation