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Statistical Papers

, Volume 34, Issue 1, pp 281–301 | Cite as

Useful matrix transformations for panel data analysis: a survey

  • B. H. Baltagi
Survey

Abstract

This paper surveys some useful matrix transformations which simplify the derivation of GLS as WLS in an error component model. This is particularly important for large panel data applications where brute force inversion of large data matrices may not be feasible. This WLS transformation is known in the literature as the Fuller and Baltese (1974) transformation and its extension to error component models with heteroscedasticity, serial correlation, unbalancedness as well as a set of seemingly unrelated regressions are considered.

Key words

error components models spectral decomposition weighted least squares 

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Copyright information

© Springer-Verlag 1993

Authors and Affiliations

  • B. H. Baltagi
    • 1
  1. 1.Department of EconomicsTexas A&M UniversityCollege Station

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