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A Note on Two-Way ECM Estimation of SUR Systems on Unbalanced Panel Data

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  • Silvia Platoni
  • Paolo Sckokai
  • Daniele Moro

Abstract

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) 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.

Suggested Citation

  • Silvia Platoni & Paolo Sckokai & Daniele Moro, 2012. "A Note on Two-Way ECM Estimation of SUR Systems on Unbalanced Panel Data," Econometric Reviews, Taylor & Francis Journals, vol. 31(2), pages 119-141.
    • Handle: RePEc:taf:emetrv:v:31:y:2012:i:2:p:119-141
    DOI: 10.1080/07474938.2011.607098
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    Cited by:

    1. Thomas, Alban & Chakir, Raja, 2020. "Unintended consequences of environmental policies: the case of set-aside and agricultural intensification," TSE Working Papers 20-1066, Toulouse School of Economics (TSE).
    2. Erik Biørn, 2014. "Estimating SUR system with random coefficients: the unbalanced panel data case," Empirical Economics, Springer, vol. 47(2), pages 451-468, September.
    3. Platoni, Silvia & Barbieri, Laura & Moro, Daniele & Sckokai, Paolo, 2020. "Heteroscedastic stratified two-way EC models of single equations and SUR systems," Econometrics and Statistics, Elsevier, vol. 15(C), pages 46-66.
    4. Moro, Daniele & Sckokai, Paolo, 2013. "The impact of decoupled payments on farm choices: Conceptual and methodological challenges," Food Policy, Elsevier, vol. 41(C), pages 28-38.

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