Adaptive Estimation of the Dynamic Linear Model with Fixed Effects
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.
|Date of creation:||Oct 2002|
|Date of revision:|
|Contact details of provider:|| Postal: Department of Economics, Reference Centre, Social Science Centre, University of Western Ontario, London, Ontario, Canada N6A 5C2|
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Web page: http://economics.uwo.ca/research/research_papers/department_working_papers.html
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