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Random Coefficient Panel Data Models

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  • Cheng Hsiao
  • M. Hashem Pesaran

Abstract

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

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File URL: http://www.usc.edu/dept/LAS/economics/IEPR/Working%20Papers/IEPR_04.2_%5BHsiao,Pesaran%5D.pdf
File Function: First version, 2004
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Bibliographic Info

Paper provided by Institute of Economic Policy Research (IEPR) in its series IEPR Working Papers with number 04.2.

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Length: 39 pages
Date of creation: Jun 2004
Date of revision:
Handle: RePEc:scp:wpaper:04-2

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Web page: http://www.usc.edu/dept/LAS/economics/IEPR/
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Keywords: Random coeffcient models; Dynamic heterogeneous panels; Classical and Bayesian approaches; Tests of slope heterogeneity; Cross section dependence;

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References

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  26. Hsiao, C. & Mountain, D.C. & Tsui, K.Y. & Chan, M.W.L., 1989. "Modeling Ontario Regional Electricity System Demand Using A Mixed Fixed And Random Coefficients Approach," Papers m8906, Southern California - Department of Economics.
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  33. 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.
  34. 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, vol. 101(2), pages 219-255, April.
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  36. 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.
  37. Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 47-82, January.
  38. Hsiao, C., 1992. "Random Coefficients Models," Papers 9212, Southern California - Department of Economics.
  39. 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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