A Note on Two-Way ECM Estimation of SUR Systems on Unbalanced Panel Data
研究了非平衡面板数据上似不相关回归系统的双向误差成分模型估计，通过将个体按观测次数分组，将GLS估计量解释为各组GLS估计量的矩阵加权平均。
This article 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 Biørn , E. ( 2004 ). Regression systems for unbalanced panel data: a stepwise maximum likelihood procedure . Journal of Econometrics 122 : 281 – 291 .[Crossref], [Web of Science ®] , [Google Scholar]) 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.