Semiparametric Bayesian inference in autoregressive panel data models

被引：77

作者：

Hirano, K

机构：

[1] Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA

[2] Univ Miami, Dept Econ, Coral Gables, FL 33124 USA

来源：

ECONOMETRICA | 2002年 / 70卷 / 02期

关键词：

D O I：

10.1111/1468-0262.00305

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

收藏

页码：781 / 799

页数：19

相关论文

共 50 条

[1] EFFICIENT ESTIMATION OF MODELS FOR DYNAMIC PANEL-DATA [J].

AHN, SC ;

SCHMIDT, P .

JOURNAL OF ECONOMETRICS, 1995, 68 (01) :5-27

[2] ESTIMATION OF DYNAMIC-MODELS WITH ERROR-COMPONENTS [J].

ANDERSON, TW ;

HSIAO, C .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1981, 76 (375) :598-606

[3] MIXTURES OF DIRICHLET PROCESSES WITH APPLICATIONS TO BAYESIAN NONPARAMETRIC PROBLEMS [J].

ANTONIAK, CE .

ANNALS OF STATISTICS, 1974, 2 (06) :1152-1174

[4] SOME TESTS OF SPECIFICATION FOR PANEL DATA - MONTE-CARLO EVIDENCE AND AN APPLICATION TO EMPLOYMENT EQUATIONS [J].

ARELLANO, M ;

BOND, S .

REVIEW OF ECONOMIC STUDIES, 1991, 58 (02) :277-297

[5]

BERTRAND M, 1997, UNPUB MICROSTRUCTURE

[6] Initial conditions and moment restrictions in dynamic panel data models [J].

Blundell, R ;

Bond, S .

JOURNAL OF ECONOMETRICS, 1998, 87 (01) :115-143

[7] A semiparametric Bayesian model for randomised block designs [J].

Bush, CA ;

MacEachern, SN .

BIOMETRIKA, 1996, 83 (02) :275-285

[8]

CAMPOLIETI M, 1998, BAYESIAN SEMIPARAMET

[9]

CARLIN B, 1996, MARKOV CHAIN MONTE C

[10] ANALYSIS OF COVARIANCE WITH QUALITATIVE DATA [J].

CHAMBERLAIN, G .

REVIEW OF ECONOMIC STUDIES, 1980, 47 (01) :225-238

← 1 2 3 4 5 →