Estimating regressions and seemingly unrelated regressions with error component disturbances

Paolo, Foschi (2005): Estimating regressions and seemingly unrelated regressions with error component disturbances.

Abstract

The estimation of regressions models with two-way error component disurbances, is considered for the case where both the random effects are non-spherically distributed. The usual approach that first transforms the effects into uncorrelated ones and then applies within and between transformations, cannot be conveniently applied. Here, it is proposed to revert this scheme by firstly applying the within and between transformations. This results in simple General Linear Model which can be partitioned into three smaller GLMs. Then, by exploiting the structure of the models and using the Generalized QR decomposition as a tool, a computationally efficient and numerically reliable method for estimating the regression parameters is derived. This estimation method is generalized to the case of a system of seemingly unrelated regressions.

• Item Type: MPRA Paper
• Institution: University of Bologna
• Language: English
• Keywords: panel data models; regressions; seemingly unrelated regressions; generalized least-squares; error components; orthogonal transformation; numerical methods
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C33 - Panel Data Models ; Spatio-temporal Models; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63 - Computational Techniques ; Simulation Modeling

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