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Fixed And Random Effects In Classical And Bayesian Regression

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Silvio Rendón ()

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Abstract

This paper proposes a common and tractable framework for analyzing different definitions of fixed and random effects in a constant-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 regressor 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, is is ultimately because different information is being used for each method.

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Paper provided by Universidad Carlos III, Departamento de Economía in its series Economics Working Papers with number we021503.

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Date of creation: Apr 2002
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Handle: RePEc:cte:werepe:we021503

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  1. Chamberlain, Gary, 1982. "Multivariate regression models for panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 5-46, January. [Downloadable!] (restricted)
  2. Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January. [Downloadable!] (restricted)
  3. Zellner, Arnold, 1999. "Bayesian and non-Bayesian approaches to scientific modeling and inference in economics and econometrics," CUDARE Working Paper Series 905, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy.
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  4. Wallace, T D & Hussain, Ashiq, 1969. "The Use of Error Components Models in Combining Cross Section with Time Series Data," Econometrica, Econometric Society, vol. 37(1), pages 55-72, January. [Downloadable!] (restricted)
  5. Chamberlain, Gary, 1984. "Panel data," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 22, pages 1247-1318 Elsevier. [Downloadable!] (restricted)
  6. Maddala, G S, 1971. "The Use of Variance Components Models in Pooling Cross Section and Time Series Data," Econometrica, Econometric Society, vol. 39(2), pages 341-58, March.
  7. Baltagi, Badi H. & Boozer, Michael A., 1997. "Econometric Analysis of Panel Data," Econometric Theory, Cambridge University Press, vol. 13(05), pages 747-754, October. [Downloadable!]
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