Random Coefficient Panel Data Models

Arbeitspapier

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

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IZA Discussion Papers ; No. 1236

Classification and Topics

• Classification: Wirtschaft ; Hypothesis Testing: General ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models ; Estimation: General
• Subject: random coefficient models ; dynamic heterogeneous panels ; classical and Bayesian approaches ; tests of slope heterogeneity ; cross section dependence ; Panel ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hsiao, Cheng ; Pesaran, Mohammad Hashem
• Event: Veröffentlichung
• (who): Institute for the Study of Labor (IZA)
• (where): Bonn
• (when): 2004

Further information

• Handle: http://hdl.handle.net/10419/20500
• Last update: 10.03.2025, 11:44 AM CET