Fixed and random effects in Classical and Bayesian regression
Silvio Rendon ()
Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra
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)
New Economics Papers: this item is included in nep-ecm
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Journal Article: Fixed and Random Effects in Classical and Bayesian Regression (2013)
Working Paper: Fixed and random effects in classical and bayesian regression (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:613
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