Random Coefficient Panel Data Methods
Pesaran, M. Hashem
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.
random coefficient models, dynamic heterogeneous panels, Classical and Bayesian approaches, tests of slope heterogeneity, cross section dependence
Faculty of Economics