Hernández-Mireles, Hernández-Mireles, C.; Fok, Fok, D. - Erasmus Research Institute of Management (ERIM), … - 2010
Bayesian approach of Jiang et al [Jiang, Renna, Machanda, Puneet and Peter Rossi, 2009. Journal of Econometrics 149 (2) 136 …-148] and we extend their method in four directions. First, we reduce the dimensionality of the covariance matrix of the random … effects by using a factor structure. The dimension reduction can be substantial depending on the number of common factors and …