Heteroscedastic stratified two-way EC models of single equations and SUR systems

被引：1

作者：

Platoni, Silvia ^{[1
]}

Barbieri, Laura ^{[1
]}

Moro, Daniele ^{[1
]}

Sckokai, Paolo ^{[2
]}

机构：

[1] Univ Cattolica Sacro Cuore, Dipartimento Sci Econ & Sociali, Via Emilia Parmense 84, I-29122 Piacenza, Italy

[2] Univ Cattolica Sacro Cuore, Dipartimento Econ Agroalimentare, Via Emilia Parmense 84, I-29122 Piacenza, Italy

来源：

ECONOMETRICS AND STATISTICS | 2020年 / 15卷

关键词：

Unbalanced panel; EC mode; SUR; Heteroscedasticity; ERROR COMPONENT MODEL; TIME-SERIES; ADAPTIVE ESTIMATION; ECONOMIC-RELATIONS; PANEL-DATA;

D O I：

10.1016/j.ecosta.2019.03.004

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A relevant issue in panel data estimation is heteroscedasticity, which often occurs when the sample is large and individual units are of varying size. Furthermore, many of the available panel data sets are unbalanced in nature, because of attrition or accretion, and micro-econometric models applied to panel data are frequently multi-equation models. The general least squares estimation of the heteroscedastic stratified two-way error component (EC) models of both single equations and seemingly unrelated regressions (SUR) systems (with cross-equation restrictions) on unbalanced panel data is considered. The derived heteroscedastic estimators of both single equations and SUR systems improve the estimation efficiency. (C) 2019 EcoSta Econometrics and Statistics. Published by Elsevier B.V. All rights reserved.

引用

页码：46 / 66

页数：21

共 36 条

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