Estimating the Standard Errors of Individual-Specific Parameters in Random Parameters Models

William Greene, Mark Harris and Christopher Spencer

Discussion Paper Series from Department of Economics, Loughborough University

Abstract: We consider the estimation of the standard errors of individual-specific parameters calculated ex post from a non-linear random parameters model. Our key contribution lies in introducing a simple method of appropriately calculating these standard errors, which explicitly takes into account the sampling variability of the estimation of the model's parameters. To demonstrate the applicability of the technique, we use it in a model of the voting behaviour of Bank of England MPC members. Our results have clear implications for drawing statistical inference on the estimated random parameters.

Keywords: Random parameters; individual-specific parameters; standard errors; voting; Monetary Policy Committee. (search for similar items in EconPapers)
JEL-codes: C25 (search for similar items in EconPapers)
Date: 2014-01, Revised 2014-01
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Estimating the Standard Errors of Individual-Specific Parameters in Random Parameters Models (2013)
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