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Adaptive Estimation of the Dynamic Linear Model with Fixed Effects

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Author Info
Tiemen Woutersen (The University of Western Ontario Department of Economics)
Marcel Voia (The University of Western Ontario Department of Economics)

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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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File URL: http://economics.uwo.ca/econref/WorkingPapers/researchreports/wp2002/wp2002_10.pdf
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Publisher 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.85228
Web page: http://economics.uwo.ca/econref/WorkingPapers/

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Related research
Keywords: Panel data; Efficient Estimation; Bayesian Analysis;

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