Pooling cross-sections with unequal time-series lengths

doi:10.1016/0165-1765(85)90167-3

Economics Letters

Volume 18, Issues 2–3, 1985, Pages 133-136

https://doi.org/10.1016/0165-1765(85)90167-3 Get rights and content

Abstract

This paper deals with the estimation of economic relationships using N cross-sectional units observed over periods of unequal lengths. A one-way error component model is assumed and the inverse of the variance-covariance matrix is derived. It is shown that GLS can be given a simple tractable WLS interpretation similar to that obtained for the complete panel data case. The basic difference, however, is that the incomplete panel data case has weights that are crucially dependent on the length of time-series available for each cross-section.

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View full text

Pooling cross-sections with unequal time-series lengths

Abstract

Journal of Econometrics

Journal of Econometrics

Journal of Econometrics

Journal of Econometrics

The estimation of variances in a variance-component model

International Economic Review

Pooling cross-section and time-series data in the estimation of a dynamic model: The demand for natural gas

Econometrica

A generalized error component model with heteroskedastic disturbances

Individual effects in a system of demand functions

Scandinavian Journal of Economics