Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/70430
Authors: 
Woutersen, Tiemen
Voia, Marcel
Year of Publication: 
2002
Series/Report no.: 
Research Report, Department of Economics, University of Western Ontario 2002-10
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.
Subjects: 
Panel data
Efficient Estimation
Bayesian Analysis
JEL: 
C31
C33
C11
C14
Document Type: 
Working Paper

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