Estimating SUR Systems with Random Coefficients: The Unbalanced Panel Data Case

Erik Biorn

No 22/2012, Memorandum from Oslo University, Department of Economics

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 (search for similar items in EconPapers)
JEL-codes: C33 C51 C63 D24 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2012-08-28
New Economics Papers: this item is included in nep-ecm and nep-ore
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Journal Article: Estimating SUR system with random coefficients: the unbalanced panel data case (2014)
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