Random Coefficient Panel Data Models

Cheng Hsiao and Mohammad Pesaran

No 1233, CESifo Working Paper Series from CESifo

Abstract: This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random coefficient models and suggest 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 heterogeneous dynamic panels, testing for homogeneity under weak exogeneity, 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)
Date: 2004
New Economics Papers: this item is included in nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (48)

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp1233.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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_1233

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().