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Random Coefficient Panel Data Models

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  • Hsiao, Cheng

    ()
    (University of Southern California)

  • Pesaran, M. Hashem

    ()
    (University of Cambridge)

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.

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Bibliographic Info

Paper provided by Institute for the Study of Labor (IZA) in its series IZA Discussion Papers with number 1236.

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Length: 41 pages
Date of creation: Aug 2004
Date of revision:
Publication status: published in: L. Mátyás and P. Sevestre (eds.), The Econometrics of Panel Data, Springer 2008 (3rd ed.)
Handle: RePEc:iza:izadps:dp1236

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Keywords: random coefficient models; dynamic heterogeneous panels; classical and Bayesian approaches; tests of slope heterogeneity; cross section dependence;

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References

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  1. Hsiao, Cheng, 1975. "Some Estimation Methods for a Random Coefficient Model," Econometrica, Econometric Society, Econometric Society, vol. 43(2), pages 305-25, March.
  2. M Pesaran & Yongcheol Shin & Ron P Smith, 2004. "Pooled mean group estimation of dynamic heterogeneous panels," ESE Discussion Papers 16, Edinburgh School of Economics, University of Edinburgh.
  3. Cooley, Thomas F & Prescott, Edward C, 1976. "Estimation in the Presence of Stochastic Parameter Variation," Econometrica, Econometric Society, Econometric Society, vol. 44(1), pages 167-84, January.
  4. Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, Elsevier, vol. 18(1), pages 47-82, January.
  5. Hsiao,Cheng, 2003. "Analysis of Panel Data," Cambridge Books, Cambridge University Press, Cambridge University Press, number 9780521818551.
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  7. Amemiya, Takeshi, 1978. "A Note on a Random Coefficients Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 19(3), pages 793-96, October.
  8. Swamy, P A V B, 1970. "Efficient Inference in a Random Coefficient Regression Model," Econometrica, Econometric Society, Econometric Society, vol. 38(2), pages 311-23, March.
  9. Peter C.B.Phillips & Donggyu Sul, 2002. "Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1362, Cowles Foundation for Research in Economics, Yale University.
  10. Michael L. Wachter, 1976. "The Changing Cyclical Responsiveness of Wage Inflation," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 7(1), pages 115-168.
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  12. Donald Robertson & James Symons, 2000. "Factor Residuals in SUR Regressions: Estimating Panels Allowing for Cross Sectional Correlation," CEP Discussion Papers dp0473, Centre for Economic Performance, LSE.
  13. Hsiao, C., 1992. "Random Coefficients Models," Papers, Southern California - Department of Economics 9212, Southern California - Department of Economics.
  14. M. Hashem Pesaran, 2004. "General Diagnostic Tests for Cross Section Dependence in Panels," CESifo Working Paper Series 1229, CESifo Group Munich.
  15. Pesaran, M.H. & Weiner, S.M., 2001. "Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Cambridge Working Papers in Economics 0119, Faculty of Economics, University of Cambridge.
  16. Pesaran, M. Hashem & Smith, Ron, 1995. "Estimating long-run relationships from dynamic heterogeneous panels," Journal of Econometrics, Elsevier, Elsevier, vol. 68(1), pages 79-113, July.
  17. Kiviet, Jan F. & Phillips, Garry D.A., 1993. "Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 9(01), pages 62-80, January.
  18. Min, C.K. & Zellner, A., 1992. ""Bayesian and Non-Bayesian Methods for Combining Models and Forecasts with Applications to Forecasting International Growth Rates"," Papers, California Irvine - School of Social Sciences 90-92-23, California Irvine - School of Social Sciences.
  19. Zellner, Arnold, 1988. "Bayesian analysis in econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 37(1), pages 27-50, January.
  20. Kajal Lahiri, 2005. "Analysis of Panel Data," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, Agricultural and Applied Economics Association, vol. 87(4), pages 1093-1095.
  21. Pesaran, H. & Smith, R. & Im, K.S., 1995. "Dynamic Linear Models for Heterogeneous Panels," Cambridge Working Papers in Economics 9503, Faculty of Economics, University of Cambridge.
  22. Hsiao, Cheng & Appelbe, Trent W. & Dineen, Christopher R., 1993. "A general framework for panel data models with an application to Canadian customer-dialed long distance telephone service," Journal of Econometrics, Elsevier, Elsevier, vol. 59(1-2), pages 63-86, September.
  23. Liu, Lon-Mu & Tiao, George C., 1980. "Random coefficient first-order autoregressive models," Journal of Econometrics, Elsevier, Elsevier, vol. 13(3), pages 305-325, August.
  24. Pesaran, M.H., 2003. "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics 0346, Faculty of Economics, University of Cambridge.
  25. Peter C.B. Phillips, 1995. "Unit Root Tests," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1104, Cowles Foundation for Research in Economics, Yale University.
  26. Pagan, Adrian, 1980. "Some identification and estimation results for regression models with stochastically varying coefficients," Journal of Econometrics, Elsevier, Elsevier, vol. 13(3), pages 341-363, August.
  27. Klein, Lawrence R., 1988. "The statistical approach to economics," Journal of Econometrics, Elsevier, Elsevier, vol. 37(1), pages 7-26, January.
  28. Michael J. Boskin & Lawrence J. Lau, 1990. "Post-War Economic Growth in the Group-of-Five Countries: A New Analysis," NBER Working Papers 3521, National Bureau of Economic Research, Inc.
  29. Kelejian, Harry H, 1974. "Random Parameters in a Simultaneous Equation Framework: Identification and Estimation," Econometrica, Econometric Society, Econometric Society, vol. 42(3), pages 517-27, May.
  30. Moon, H.R.Hyungsik Roger & Perron, Benoit, 2004. "Testing for a unit root in panels with dynamic factors," Journal of Econometrics, Elsevier, Elsevier, vol. 122(1), pages 81-126, September.
  31. Anderson, T. W. & Hsiao, Cheng., 1980. "Estimation of Dynamic Models with Error Components," Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences 336, California Institute of Technology, Division of the Humanities and Social Sciences.
  32. Ahn, Seung Chan & Hoon Lee, Young & Schmidt, Peter, 2001. "GMM estimation of linear panel data models with time-varying individual effects," Journal of Econometrics, Elsevier, Elsevier, vol. 101(2), pages 219-255, April.
  33. Pietro Balestra & Syoum Negassi, 1990. "A Random Coefficient Simultaneous Equation System with an Application to Direct Foreign Investment by French Firms," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva, Institut d'Economie et Econométrie, Université de Genève 90.5, Institut d'Economie et Econométrie, Université de Genève.
  34. Hsiao, Cheng, 1974. "Statistical Inference for a Model with Both Random Cross-Sectional and Time Effects," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 12-30, February.
  35. Swamy, P. A. V. B. & Tinsley, P. A., 1980. "Linear prediction and estimation methods for regression models with stationary stochastic coefficients," Journal of Econometrics, Elsevier, Elsevier, vol. 12(2), pages 103-142, February.
  36. Hsiao, Cheng & Mountain, Dean C. & Chan, M. W. Luke & Tsui, Kai Y., 1989. "Modeling Ontario regional electricity system demand using a mixed fixed and random coefficients approach," Regional Science and Urban Economics, Elsevier, Elsevier, vol. 19(4), pages 565-587, December.
  37. M. Hashem Pesaran, 2003. "Estimation and Inference in Large Heterogenous Panels with Cross Section Dependence," CESifo Working Paper Series 869, CESifo Group Munich.
  38. Hendricks, Wallace & Koenker, Roger & Poirier, Dale J., 1979. "Residential demand for electricity : An econometric approach," Journal of Econometrics, Elsevier, Elsevier, vol. 9(1-2), pages 33-57, January.
  39. Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1988. "Estimating Vector Autoregressions with Panel Data," Econometrica, Econometric Society, Econometric Society, vol. 56(6), pages 1371-95, November.
  40. Hsiao, C. & Pesaran, M. H. & Tahmiscioglu, A. K., 1998. "Bayes Estimation of Short-run Coefficients in Dynamic Panel Data Models," Cambridge Working Papers in Economics 9804, Faculty of Economics, University of Cambridge.
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