cjas_a_1214248_sm7942.pdf (27.31 kB)
Bayesian inference for random coefficient dynamic panel data models
journal contribution
posted on 2016-08-03, 02:05 authored by Fang Liu, Peng Zhang, Ibrahim Erkan, Dylan S. SmallWe develop a hierarchical Bayesian approach for inference in random coefficient dynamic panel data models. Our approach allows for the initial values of each unit's process to be correlated with the unit-specific coefficients. We impose a stationarity assumption for each unit's process by assuming that the unit-specific autoregressive coefficient is drawn from a logitnormal distribution. Our method is shown to have favorable properties compared to the mean group estimator in a Monte Carlo study. We apply our approach to analyze energy and protein intakes among individuals from the Philippines.