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SIMULTANEOUS EQUATIONS WITH INCOMPLETE PANELS

Published online by Cambridge University Press:  01 April 2000

Badi H. Baltagi  and
Young-Jae Chang
Badi H. Baltagi
Affiliation:
Texas A&M University
Young-Jae Chang
Affiliation:
Inje University
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Abstract

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This paper compares the performance of several single and system estimators of a two equation simultaneous model with unbalanced panel data. The Monte Carlo design varies the degree of unbalancedness in the data and the variance components ratio due to the individual effects. One useful result for applied researchers is that the feasible error components 2SLS and 3SLS procedures based on simple ANOVA type estimators of the variance components perform well with incomplete panels and are recommended in practice.

Type
MISCELLANEA
Information
Econometric Theory , Volume 16 , Issue 2 , April 2000 , pp. 269 - 279
Copyright
© 2000 Cambridge University Press