Random Coefficient Panel Data Methods
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Authors
Hsiao, Cheng
Pesaran, M. Hashem
Abstract
This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random coefficients models and suggests a common framework for dealing with them. It considers the fundamental issues of statistical inference of a random coefficients formulation using both the sampling and Bayesian approaches. The paper also provides a review of heterogeneity, simultaneous equation random coefficient models, and the more recent developments in the area of cross-sectional dependence in panel data models.
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Keywords
random coefficient models, dynamic heterogeneous panels, Classical and Bayesian approaches, tests of slope heterogeneity, cross section dependence
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Faculty of Economics