Random Coefficient Panel Data Models

Cheng Hsiao and Mohammad Pesaran

No 1236, IZA Discussion Papers from Institute of Labor Economics (IZA)

Abstract: 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.

Keywords: random coefficient 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: 41 pages
Date: 2004-08
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (45)

Published - published in: L. Mátyás and P. Sevestre (eds.), The Econometrics of Panel Data, Springer 2008 (3rd ed.)

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https://docs.iza.org/dp1236.pdf (application/pdf)

Related works:
Working Paper: Random Coefficient Panel Data Models (2004)
Working Paper: Random Coefficient Panel Data Models (2004)
Working Paper: Random Coefficient Panel Data Models (2004)
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