Time-Varying Coefficients for Discrete Panel Data / Zeitvariierende Koeffizienten für diskrete Panel Daten

Tutz Gerhard
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Tutz Gerhard: Institut für Quantitative Methoden, TU Berlin, Franklinstr. 28/29, Fr 6-4, D-10587 Berlin

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1998, vol. 217, issue 3, 334-344

Abstract: For panels which are observed over a long time it has to be assumed that the effects of covariates vary across time. An estimation method based on local likelihood principles is proposed which allows to estimate the variation of coefficients in the case of discrete responses. Approximate confidence intervals are derived for the estimates. The method is applied to business tendency surveys and the results are compared to the extended Kaiman filtering approach.

Keywords: Discrete panel; varying coefficients; local likelihood; business tendency surveys; Diskretes Panel; variierende Koeffizienten; lokale Likelihood; Konjunkturtestdaten (search for similar items in EconPapers)
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:217:y:1998:i:3:p:334-344

DOI: 10.1515/jbnst-1998-0305

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