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Random Coefficient Panel Data Models

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Author Info
Cheng Hsiao
M. Hashem Pesaran

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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
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File Function: First version, 2004
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Publisher 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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Related research
Keywords: Random coeffcient models; Dynamic heterogeneous panels; Classical and Bayesian approaches; Tests of slope heterogeneity; Cross section dependence;

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Hsiao, C., 1992. "Random Coefficients Models," Papers 9212, Southern California - Department of Economics.
  2. 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, vol. 15(1), pages 12-30, February. [Downloadable!] (restricted)
  3. 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. [Downloadable!]
    Other versions:
  4. MOON, Hyungsik Roger & PERRON, Benoit., 2002. "Testing for a Unit Root in Panels with Dynamic Factors," Cahiers de recherche 2002-18, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:
  5. Hendricks, Wallace & Koenker, Roger & Poirier, Dale J., 1979. "Residential demand for electricity : An econometric approach," Journal of Econometrics, Elsevier, vol. 9(1-2), pages 33-57, January. [Downloadable!] (restricted)
  6. Pesaran, M. Hashem & Smith, Ron, 1995. "Estimating long-run relationships from dynamic heterogeneous panels," Journal of Econometrics, Elsevier, vol. 68(1), pages 79-113, July. [Downloadable!] (restricted)
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  7. 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, vol. 12(2), pages 103-142, February. [Downloadable!] (restricted)
    Other versions:
  8. Pietro Balestra & Syoum Negassi, 1990. "A Random Coefficient Simultaneous Equation System with an Application to Direct Foreign Investment by French Firms," Cahiers du Département d'Econométrie 90.5, Département d'Econométrie, Université de Genève.
  9. M. Hashem Pesaran & Til Schuermann & Scott M. Weiner, 2001. "Modelling regional interdependencies using a global error-correcting macroeconometric model," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B4-1, International Conferences on Panel Data. [Downloadable!]
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  10. Conley, T.G. & Topa, G., 1999. "Socio-Economic Distance and Spatial Patterns in Unemployment," Working Papers 99-04, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
  11. 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.
  12. 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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  13. Hsiao, C. & Appelbe, T.W. & Dineen, C.R., 1992. "A General Framework for Panel Data Models with an Application to Canadian Customer-Dialed Long Distance Telephone Service," Papers 90-92-15, California Irvine - School of Social Sciences.
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  14. Lee, Kevin C & Pesaran, M Hashem, 1993. "The Role of Sectoral Interactions in Wage Determination in the UK Economy," Economic Journal, Royal Economic Society, vol. 103(416), pages 21-55, January. [Downloadable!] (restricted)
    Other versions:
  15. 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.
  16. Zellner, Arnold, 1988. "Bayesian analysis in econometrics," Journal of Econometrics, Elsevier, vol. 37(1), pages 27-50, January. [Downloadable!] (restricted)
  17. Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1988. "Estimating Vector Autoregressions with Panel Data," Econometrica, Econometric Society, vol. 56(6), pages 1371-95, November. [Downloadable!] (restricted)
  18. Pagan, Adrian, 1980. "Some identification and estimation results for regression models with stochastically varying coefficients," Journal of Econometrics, Elsevier, vol. 13(3), pages 341-363, August. [Downloadable!] (restricted)
  19. Michael L. Wachter, 1976. "The Changing Cyclical Responsiveness of Wage Inflation," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 7(1976-1), pages 115-168. [Downloadable!]
  20. 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, vol. 19(3), pages 793-96, October. [Downloadable!] (restricted)
  21. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November. [Downloadable!] (restricted)
  22. 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. [Downloadable!] (restricted)
  23. Hsiao, Cheng, 1975. "Some Estimation Methods for a Random Coefficient Model," Econometrica, Econometric Society, vol. 43(2), pages 305-25, March. [Downloadable!] (restricted)
  24. Kelejian, Harry H, 1974. "Random Parameters in a Simultaneous Equation Framework: Identification and Estimation," Econometrica, Econometric Society, vol. 42(3), pages 517-27, May. [Downloadable!] (restricted)
  25. Pesaran, M. Hashem, 2004. "General Diagnostic Tests for Cross Section Dependence in Panels," IZA Discussion Papers 1240, Institute for the Study of Labor (IZA). [Downloadable!]
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  26. Liu, Lon-Mu & Tiao, George C., 1980. "Random coefficient first-order autoregressive models," Journal of Econometrics, Elsevier, vol. 13(3), pages 305-325, August. [Downloadable!] (restricted)
  27. Pesaran, H.M., 2003. "Estimation and Inference in Large Heterogeneous Panels with Cross Section Dependence," Cambridge Working Papers in Economics 0305, Faculty of Economics, University of Cambridge. [Downloadable!]
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  28. Peter C.B. Phillips, 1995. "Unit Root Tests," Cowles Foundation Discussion Papers 1104, Cowles Foundation, Yale University. [Downloadable!]
  29. Min, Chung-ki & Zellner, Arnold, 1993. "Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 89-118, March. [Downloadable!] (restricted)
    Other versions:
  30. Cooley, Thomas F & Prescott, Edward C, 1976. "Estimation in the Presence of Stochastic Parameter Variation," Econometrica, Econometric Society, vol. 44(1), pages 167-84, January. [Downloadable!] (restricted)
  31. Peter C.B.Phillips & Donggyu Sul, 2002. "Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence," Cowles Foundation Discussion Papers 1362, Cowles Foundation, Yale University. [Downloadable!]
  32. 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. [Downloadable!]
  33. 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. [Downloadable!] (restricted)
  34. Klein, Lawrence R., 1988. "The statistical approach to economics," Journal of Econometrics, Elsevier, vol. 37(1), pages 7-26, January. [Downloadable!] (restricted)
  35. Swamy, P A V B, 1970. "Efficient Inference in a Random Coefficient Regression Model," Econometrica, Econometric Society, vol. 38(2), pages 311-23, March. [Downloadable!] (restricted)
  36. Anderson, T. W. & Hsiao, Cheng., 1980. "Estimation of Dynamic Models with Error Components," Working Papers 336, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
  37. 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. [Downloadable!]
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Juarez, Miguel A. & Steel, Mark F. J., 2006. "Non-Gaussian dynamic Bayesian modelling for panel data," MPRA Paper 450, University Library of Munich, Germany. [Downloadable!]
  2. M. Hashem Pesaran & Takashi Yamagata, 2005. "Testing Slope Homogeneity in Large Panels," IEPR Working Papers 05.14, Institute of Economic Policy Research (IEPR). [Downloadable!]
    Other versions:
  3. Tondl, Gabriele & Prüfer, Patricia, 2007. "Does it Make a Difference? Comparing Growth Effects of European and North American FDI in Latin America," Proceedings of the German Development Economics Conference, Göttingen 2007 26, Verein für Socialpolitik, Research Committee Development Economics. [Downloadable!]
  4. Felipe Zurita L., 2008. "Bankruptcy Prediction for Chilean Companies," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 11(1), pages 93-116, April. [Downloadable!]
  5. Fushang Liu & Kajal Lahiri, 2006. "Modelling multi-period inflation uncertainty using a panel of density forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1199-1219. [Downloadable!]
  6. Felipe Zurita, 2008. "La Predicción de la Insolvencia de Empresas Chilenas," Documentos de Trabajo 336, Instituto de Economía. Pontificia Universidad Católica de Chile.. [Downloadable!]
  7. M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler, 2005. "Global Business Cycles and Credit Risk," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  8. Rafal Raciborski, 2008. "Searching for additional sources of inflation persistence : the micro-price panel data approach," Research series 200804-04, National Bank of Belgium. [Downloadable!]
  9. Jean Imbs & Eric Jondeau & Florian Pelgrin, 2007. "Aggregating Phillips curves," Working Paper Series 785, European Central Bank. [Downloadable!]
    Other versions:
  10. Jerry Coakley & Ana-Maria Fuertes & Ron Smith, 2004. "Unobserved Heterogeneity in Panel Time Series Models," Birkbeck Working Papers in Economics and Finance 0403, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
    Other versions:
  11. Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2006. "Bayesian Inference in a Cointegrating Panel Data Model," Discussion Papers in Economics 06/2, Department of Economics, University of Leicester. [Downloadable!]
    Other versions:
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