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Random coefficient models: theory and applications

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  • P. A. V. B. Swamy
  • George S. Tavlas

Abstract

This paper provides an overview of the rationale behind, and the implementation, and uses of, the random coefficient approach to econometric modeling. A simple random coefficient model is presented, and methods for estimating, testing, and validating such a model are described. A more general model is then presented. The general model is shown to include several fixed-coefficient models as special cases and can be estimated incorporating a variety of judgements concerning simplification. Finally, the paper reviews recent applications of random coefficient estimation. Copyright 1995 by Blackwell Publishers Ltd
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Suggested Citation

  • P. A. V. B. Swamy & George S. Tavlas, 1993. "Random coefficient models: theory and applications," Finance and Economics Discussion Series 93-14, Board of Governors of the Federal Reserve System (U.S.).
  • Handle: RePEc:fip:fedgfe:93-14
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    Keywords

    Econometric models;

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