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.

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Year of publication:	2002-10
Authors:	Woutersen, Tiemen ; Voia, Marcel
Institutions:	University of Western Ontario, Department of Economics
Subject:	Panel data \| Efficient Estimation \| Bayesian Analysis

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Extent:	application/pdf
Series:	UWO Department of Economics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The price is Paper copy available by mail at a cost of $10.00 Canadian each Number 200210
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005212385