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Fixed and random effects in Classical and Bayesian regression

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  • Silvio Rendón

Abstract

This paper proposes a common and tractable framework for analyzing different definitions of fixed and random effects in a contant-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 regressors 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, it is ultimately because different information is being used for each methods.

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File URL: http://www.econ.upf.edu/docs/papers/downloads/613.pdf
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Bibliographic Info

Paper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 613.

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Date of creation: Apr 2002
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Handle: RePEc:upf:upfgen:613

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Web page: http://www.econ.upf.edu/

Related research

Keywords: Bayes; panel data; nuisance parameters; fixed effects; random effects;

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References

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  1. Hsiao,Cheng, 2003. "Analysis of Panel Data," Cambridge Books, Cambridge University Press, number 9780521522717, October.
  2. Nerlove,Marc, 2005. "Essays in Panel Data Econometrics," Cambridge Books, Cambridge University Press, number 9780521022460, October.
  3. 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.
  4. Boozer, Michael A., 1997. "Econometric Analysis of Panel Data Badi H. Baltagi Wiley, 1995," Econometric Theory, Cambridge University Press, vol. 13(05), pages 747-754, October.
  5. Nerlove,Marc, 2002. "Essays in Panel Data Econometrics," Cambridge Books, Cambridge University Press, number 9780521815345, October.
  6. Chamberlain, Gary, 1982. "Multivariate regression models for panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 5-46, January.
  7. Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January.
  8. 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.
  9. 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.
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Cited by:
  1. Burda, Martin & Harding, Matthew & Hausman, Jerry, 2012. "A Poisson mixture model of discrete choice," Journal of Econometrics, Elsevier, vol. 166(2), pages 184-203.

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