Semiparametric Bayesian inference in autoregressive panel data models

Research output: Contribution to journalArticle

66 Citations (Scopus)

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
StatePublished - 2002
Externally publishedYes

Fingerprint

Panel Data
Bayesian Methods
Bayesian inference
Data Model
Semiparametric Methods
Random Effects Model
Longitudinal Data
Autoregressive Model
Shock
income
Bayesian methods
Income
Dynamic panel data model
Idiosyncratic shocks
Autoregressive model
Longitudinal data
Random effects
Panel study
Inference
Individual effects

ASJC Scopus subject areas

  • Mathematics (miscellaneous)
  • Statistics and Probability
  • Economics and Econometrics
  • Social Sciences (miscellaneous)

Cite this

Semiparametric Bayesian inference in autoregressive panel data models. / Hirano, Keisuke.

In: Econometrica, Vol. 70, No. 2, 2002, p. 781-799.

Research output: Contribution to journalArticle

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