Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/18872
Authors: 
Hsiao, Cheng
Pesaran, Mohammad Hashem
Year of Publication: 
2004
Series/Report no.: 
CESifo Working Paper 1233
Abstract: 
This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random coefficients 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. Keywords: random coefficient models, dynamic heterogeneous panels, classical and Bayesian approaches, tests of slope heterogeneity, cross section dependence.
Subjects: 
random coefficient models
dynamic heterogeneous panels
classical and Bayesian approaches
tests of slope heterogeneity
cross section dependence
JEL: 
C13
C12
C33
Document Type: 
Working Paper

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