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Adaptive Estimation of the Dynamic Linear Model with Fixed Effects

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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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  • Tiemen Woutersen & Marcel Voia, 2002. "Adaptive Estimation of the Dynamic Linear Model with Fixed Effects," University of Western Ontario, Departmental Research Report Series 200210, University of Western Ontario, Department of Economics.
    • Handle: RePEc:uwo:uwowop:200210
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    File URL: https://ir.lib.uwo.ca/cgi/viewcontent.cgi?article=1393&context=economicsresrpt
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    1. repec:hal:spmain:info:hdl:2441/dambferfb7dfprc9m052g20qh is not listed on IDEAS
    2. repec:hal:spmain:info:hdl:2441/1mc4dip81d9t8r0t57fe1h8lap is not listed on IDEAS
    3. Dhaene, Geert & Jochmans, Koen, 2016. "Likelihood Inference In An Autoregression With Fixed Effects," Econometric Theory, Cambridge University Press, vol. 32(5), pages 1178-1215, October.
    4. repec:hal:wpspec:info:hdl:2441/dambferfb7dfprc9m052g20qh is not listed on IDEAS

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    Keywords

    Panel data; Efficient Estimation; Bayesian Analysis;
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