RANDOM COEFFICIENT MODELS: THEORY AND APPLICATIONS

P. A. V. B. Swamy · George S. Tavlas

100 citations0/0 files storedJournal of Economic Surveys

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Spatial and Panel Data Analysis Statistical Methods and Bayesian Inference Advanced Statistical Methods and Models

Abstract

Abstract.This paper provides an overview of the rationale behind, and the implementation, and uses of, the random coefficient approach to econometric modelling. 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.

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