Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/90768
Authors: 
Biørn, Erik
Year of Publication: 
2012
Series/Report no.: 
Memorandum, Department of Economics, University of Oslo 22/2012
Abstract: 
A system of regression equations (SURE) for analyzing panel data with random heterogeneity in intercepts and coefficients, and unbalanced panel data is considered. A Maximum Likelihood (ML) procedure for joint estimation of all parameters is described. Since its implementation for numerical computation is complicated, simplified procedures are presented. The simplifications essentially concern the estimation of the covariance matrices of the random coefficients. The application and 'anatomy' of the proposed algorithm for modified ML estimation is illustrated by using panel data for output, inputs and costs for 111 manufacturing firms observed up to 22 years.
Subjects: 
Panel Data
Unbalanced data
Random Coefficients
Heterogeneity
Regression Systems , Iterated Maximum Likelihood
JEL: 
C33
C51
C63
D24
Document Type: 
Working Paper

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