The PANEL Procedure

Notation

The following notation represents the usual panel structure, with the specification of ${u_{it}}$ dependent on the particular model:

\[  y_{it}=\sum _{k=1}^{K}{x_{itk}{\beta }_{k}} + u_{it} \hspace{0.2 in} i=1,{\ldots }\mi{N} ; t=1, {\ldots }\mi{T} _{i}  \]

The total number of observations ${\mi{M} = {\sum }^{\mi{N} }_{i=1}\mi{T} _{i}}$. For the balanced data case, ${\mi{T} _{i}=\mi{T} }$ for all ${i}$. The ${\mi{M} {\times } \mi{M} }$ covariance matrix of ${u_{it}}$ is denoted by ${\mb{V} }$. Let ${\mb{X} }$ and ${\mb{y} }$ be the independent and dependent variables arranged by cross section and by time within each cross section. Let ${\mb{X} _{s}}$ be the ${X}$ matrix without the intercept. All other notation is specific to each section.