Scandinavian Working Papers in Economics
Memorandum,
Oslo University, Department of Economics
No 22/2012: Estimating SUR Systems with Random Coefficients: The Unbalanced Panel Data Case
Erik Biørn ()
Additional contact information
Erik Biørn: Dept. of Economics, University of Oslo, Postal: Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway
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.
Keywords: Panel Data; Unbalanced data; Random Coefficients; Heterogeneity; Regression Systems; Iterated Maximum Likelihood
18 pages, August 28, 2012
Full text files
memo-22-2012.pdf
Questions (including download problems) about the papers in this series should be directed to Mari Strønstad Øverås ()
Report other problems with accessing this service to Sune Karlsson ().
RePEc:hhs:osloec:2012_022This page generated on 2024-09-13 22:16:45.