In this paper, we develop a general method for heterogeneous variable selection in Bayesian nonlinear panel data models … method additionally allows for other forms of cross-sectional heterogeneity. We consider a two-group approach for the model … Dirichlet process (DP) mixture of multivariate normals (other cross-sectional heterogeneity). We develop our approach for …

this joint treatment by extending the linear model to allow for multiple-regime parameter heterogeneity of the type …