EconPapers    
Economics at your fingertips  
 

Fixed and random effects in Classical and Bayesian regression

Silvio Rendon ()

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: This paper proposes a common and tractable framework for analyzing different definitions of fixed and random effects in a contant-slope variable-intercept model. It is shown that, regardless of whether effects (i) are treated as parameters or as an error term, (ii) are estimated in different stages of a hierarchical model, or whether (iii) correlation between effects and regressors is allowed, when the same information on effects is introduced into all estimation methods, the resulting slope estimator is also the same across methods. If different methods produce different results, it is ultimately because different information is being used for each methods.

Keywords: Bayes; panel data; nuisance parameters; fixed effects; random effects (search for similar items in EconPapers)
JEL-codes: C11 C23 (search for similar items in EconPapers)
Date: 2002-04
New Economics Papers: this item is included in nep-ecm
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://econ-papers.upf.edu/papers/613.pdf Whole Paper (application/pdf)

Related works:
Journal Article: Fixed and Random Effects in Classical and Bayesian Regression (2013) Downloads
Working Paper: Fixed and random effects in classical and bayesian regression (2002) Downloads
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:upf:upfgen:613

Access Statistics for this paper

More papers in Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra
Bibliographic data for series maintained by ().

 
Page updated 2020-11-27
Handle: RePEc:upf:upfgen:613