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Random Coefficient Panel Data Models

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  • Cheng Hsiao
  • M. Hashem Pesaran

Abstract

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.

Suggested Citation

  • Cheng Hsiao & M. Hashem Pesaran, 2004. "Random Coefficient Panel Data Models," CESifo Working Paper Series 1233, CESifo.
  • Handle: RePEc:ces:ceswps:_1233
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    File URL: https://www.cesifo.org/DocDL/cesifo1_wp1233.pdf
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    References listed on IDEAS

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