Adaptive Estimation of the Dynamic Linear Model with Fixed Effects

Tiemen Woutersen and Marcel Voia

No 200210, University of Western Ontario, Departmental Research Report Series from University of Western Ontario, Department of Economics

Abstract: This paper shows how the dynamic linear model with fixed regressors can be efficiently estimated. This dynamic model can be used to distinguish spurious correlation from state dependence and we show that the integrated likelihood estimator is adaptive for any asymptotics with T increasing where T is the number of observations per individual.

Keywords: Panel data; Efficient Estimation; Bayesian Analysis (search for similar items in EconPapers)
Date: 2002-10
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