Semiparametric Bayesian inference in autoregressive panel data models

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Abstract

Bayesian methods were developed for inference in dynamic panel data models with individual effects, and were applied for the study of longitudinal data on earnings from the Panel Study on Income Dynamics (PSID). Semiparametric Bayesian methods were adapted to a random effects autoregressive model with nonparametric idiosyncratic shocks.

Original languageEnglish (US)
Pages (from-to)781-799
Number of pages19
JournalEconometrica
Volume70
Issue number2
DOIs
StatePublished - Jan 1 2002

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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