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The Two-Way Error Component Regression Model

In: Econometric Analysis of Panel Data

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  • Badi H. Baltagi

    (Syracuse University)

Abstract

This chapter studies the two-way error component regression model which controls for individual as well as time effects. This includes the fixed and random effects specification. It also discusses maximum likelihood estimation under normality and best linear unbiased prediction. It illustrates these methods with three empirical examples. The first is an investment equation using panel data on firms. The second is a gasoline demand equation using panel data of OECD countries. The third example estimates the productivity of public capital in the private sector using panel data on 48 contiguous states. These are illustrated using Stata and EViews.

Suggested Citation

  • Badi H. Baltagi, 2021. "The Two-Way Error Component Regression Model," Springer Texts in Business and Economics, in: Econometric Analysis of Panel Data, edition 6, chapter 0, pages 47-74, Springer.
    • Handle: RePEc:spr:sptchp:978-3-030-53953-5_3
    DOI: 10.1007/978-3-030-53953-5_3
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    Cited by:

    1. Holger Dette & Martin Schumann, 2023. "Testing for equivalence of pre-trends in Difference-in-Differences estimation," Papers 2310.15796, arXiv.org.

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