This paper considers the two-way error components model (ECM) estimation of seemingly unrelated regressions (SUR) on unbalanced panel by generalized least squares (GLS). As suggested by Biørn (2004) for the one-way case, in order to use the standard results for the balanced case the individuals are arranged in groups according to the number of times they are observed. Thus, the GLS estimator can be interpreted as a matrix weighted average of the group specific GLS estimators with weights equal to the inverse of their respective covariance matrices.
Platoni, S., Sckokai, P., Moro, D., A Note on Two-way ECM Estimation of SUR Systems on Unbalanced Panel Data, <<Quaderni del Dipartimento di Scienze Economiche e Sociali, Università Cattolica del Sacro Cuore (Piacenza), Serie Rossa: Economia>>, 2010; 67 (Luglio): 1-22 [http://hdl.handle.net/10807/32452]
A Note on Two-way ECM Estimation of SUR Systems on Unbalanced Panel Data
Platoni, Silvia;Sckokai, Paolo;Moro, Daniele
2010
Abstract
This paper considers the two-way error components model (ECM) estimation of seemingly unrelated regressions (SUR) on unbalanced panel by generalized least squares (GLS). As suggested by Biørn (2004) for the one-way case, in order to use the standard results for the balanced case the individuals are arranged in groups according to the number of times they are observed. Thus, the GLS estimator can be interpreted as a matrix weighted average of the group specific GLS estimators with weights equal to the inverse of their respective covariance matrices.
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