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Random Coefficient Panel Data Models

Cheng Hsiao and M Pesaran ()

No 04.2, IEPR Working Papers from Institute of Economic Policy Research (IEPR)

Abstract: This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random coe.cients models and suggest a common framework for dealing with them. It considers the fundamental issues of statistical inference of a random coe.cients 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 coe.cient models, and the more recent developments in the area of cross-sectional dependence in panel data models.

Keywords: Random coeffcient 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: 39 pages
Date: 2004-06
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