Random Coefficient Panel Data Models

Cheng Hsiao and Mohammad Pesaran

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

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.

Keywords: random coefficient models; dynamic heterogeneous panels; Classical and Bayesian approaches; tests of slope heterogeneity; cross section dependence. (search for similar items in EconPapers)
JEL-codes: C12 C13 C33 (search for similar items in EconPapers)
Pages: 42
Date: 2004-06
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: EM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32)

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https://files.econ.cam.ac.uk/repec/cam/pdf/cwpe0434.pdf (application/pdf)

Related works:
Working Paper: Random Coefficient Panel Data Models (2004)
Working Paper: Random Coefficient Panel Data Models (2004)
Working Paper: Random Coefficient Panel Data Models (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:0434

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