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
Authors:	Woutersen, Tiemen ; Voia, Marcel
Publisher:	London (Ontario) : The University of Western Ontario, Department of Economics
Subject:	Panel data \| Efficient Estimation \| Bayesian Analysis

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Series:	Research Report ; 2002-10
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	357236130 [GVK] hdl:10419/70430 [Handle] RePEc:uwo:uwowop:200210 [RePEc]
Classification:	C31 - Cross-Sectional Models; Spatial Models ; C33 - Models with Panel Data ; C11 - Bayesian Analysis ; C14 - Semiparametric and Nonparametric Methods
Source:	EconStor

Persistent link: https://www.econbiz.de/10010292047