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Adaptive Estimation of the Dynamic Linear Model with Fixed Effects

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Abstract

This paper shows how the dynamic linear model with fixed regressors can be efficiently estimated. This dynamic model can be used to distinguish spurious correlation from state dependence and we show that the integrated likelihood estimator is adaptive for any asymptotics with T increasing where T is the number of observations per individual.

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Bibliographic Info

Paper provided by University of Western Ontario, Department of Economics in its series UWO Department of Economics Working Papers with number 200210.

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Date of creation: Oct 2002
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Handle: RePEc:uwo:uwowop:200210

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Postal: Department of Economics, Reference Centre, Social Science Centre, University of Western Ontario, London, Ontario, Canada N6A 5C2
Phone: 519-661-2111 Ext.85244
Web page: http://economics.uwo.ca/research/research_papers/department_working_papers.html

Related research

Keywords: Panel data; Efficient Estimation; Bayesian Analysis;

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Cited by:
  1. Geert Dhaene & Koen Jochmans, 2013. "Likelihood inference in an Autoregression with fixed effects," Sciences Po publications 2013-07, Sciences Po.

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