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Random Coefficient Panel Data Models

  • Cheng Hsiao
  • M. Hashem Pesaran

This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random coefficient models and suggest a common framework for dealing with them. It considers the fundamental issues of statistical inference of a random coefficients 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 coefficient 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.cesifo-group.de/portal/page/portal/DocBase_Content/WP/WP-CESifo_Working_Papers/wp-cesifo-2004/wp-cesifo-2004-07/cesifo1_wp1233.pdf
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Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 1233.

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Date of creation: 2004
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Handle: RePEc:ces:ceswps:_1233
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  1. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November.
  2. 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.
  3. Pesaran M.H. & Schuermann T. & Weiner S.M., 2004. "Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 129-162, April.
  4. 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.
  5. Pesaran, M.H. & Smith, R., 1992. "Estimating Long-Run Relationships From Dynamic Heterogeneous Panels," Cambridge Working Papers in Economics 9215, Faculty of Economics, University of Cambridge.
  6. Michael J. Boskin & Lawrence J. Lau, 1990. "Post-War Economic Growth in the Group-of-Five Countries: A New Analysis," NBER Working Papers 3521, National Bureau of Economic Research, Inc.
  7. 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.
  8. Pietro Balestra & Syoum Negassi, 1990. "A Random Coefficient Simultaneous Equation System with an Application to Direct Foreign Investment by French Firms," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 90.5, Institut d'Economie et Econométrie, Université de Genève.
  9. Peter C.B.Phillips & Donggyu Sul, 2002. "Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence," Cowles Foundation Discussion Papers 1362, Cowles Foundation for Research in Economics, Yale University.
  10. 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.
  11. Donald Robertson & James Symons, 2000. "Factor residuals in SUR regressions: estimating panels allowing for cross sectional correlation," LSE Research Online Documents on Economics 20163, London School of Economics and Political Science, LSE Library.
  12. Hsiao, Cheng & Mountain, Dean C. & Chan, M. W. Luke & Tsui, Kai Y., 1989. "Modeling Ontario regional electricity system demand using a mixed fixed and random coefficients approach," Regional Science and Urban Economics, Elsevier, vol. 19(4), pages 565-587, December.
  13. Hsiao, Cheng, 1975. "Some Estimation Methods for a Random Coefficient Model," Econometrica, Econometric Society, vol. 43(2), pages 305-25, March.
  14. 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.
  15. M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
  16. Kajal Lahiri, 2005. "Analysis of Panel Data," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 87(4), pages 1093-1095.
  17. Peter C.B. Phillips, 1995. "Unit Root Tests," Cowles Foundation Discussion Papers 1104, Cowles Foundation for Research in Economics, Yale University.
  18. M. Hashem Pesaran, 2003. "Estimation and Inference in Large Heterogenous Panels with Cross Section Dependence," CESifo Working Paper Series 869, CESifo Group Munich.
  19. 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.
  20. 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.
  21. Klein, Lawrence R., 1988. "The statistical approach to economics," Journal of Econometrics, Elsevier, vol. 37(1), pages 7-26, January.
  22. Min, C.K. & Zellner, A., 1992. ""Bayesian and Non-Bayesian Methods for Combining Models and Forecasts with Applications to Forecasting International Growth Rates"," Papers 90-92-23, California Irvine - School of Social Sciences.
  23. Liu, Lon-Mu & Tiao, George C., 1980. "Random coefficient first-order autoregressive models," Journal of Econometrics, Elsevier, vol. 13(3), pages 305-325, August.
  24. Hsiao, Cheng & Appelbe, Trent W. & Dineen, Christopher R., 1993. "A general framework for panel data models with an application to Canadian customer-dialed long distance telephone service," Journal of Econometrics, Elsevier, vol. 59(1-2), pages 63-86, September.
  25. repec:cup:cbooks:9780521522717 is not listed on IDEAS
  26. Moon, H.R.Hyungsik Roger & Perron, Benoit, 2004. "Testing for a unit root in panels with dynamic factors," Journal of Econometrics, Elsevier, vol. 122(1), pages 81-126, September.
  27. Kiviet, Jan F. & Phillips, Garry D.A., 1993. "Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable," Econometric Theory, Cambridge University Press, vol. 9(01), pages 62-80, January.
  28. Hsiao, C., 1992. "Random Coefficients Models," Papers 9212, Southern California - Department of Economics.
  29. 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.
  30. Kelejian, Harry H, 1974. "Random Parameters in a Simultaneous Equation Framework: Identification and Estimation," Econometrica, Econometric Society, vol. 42(3), pages 517-27, May.
  31. repec:cup:cbooks:9780521818551 is not listed on IDEAS
  32. M. Hashem Pesaran, 2004. "General Diagnostic Tests for Cross Section Dependence in Panels," CESifo Working Paper Series 1229, CESifo Group Munich.
  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. Swamy, P A V B, 1970. "Efficient Inference in a Random Coefficient Regression Model," Econometrica, Econometric Society, vol. 38(2), pages 311-23, March.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. 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.
  40. Zellner, Arnold, 1988. "Bayesian analysis in econometrics," Journal of Econometrics, Elsevier, vol. 37(1), pages 27-50, January.
  41. 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.
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