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Identification and estimation of categorical random coefficient models

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Bibliographic Details
Main Authors: Zhan, Gao, M. Hashem, Pesaran
Format: Book
Language:English
Published: Springer 2023
Subjects:
categorical random coefficient models
Online Access:https://link.springer.com/article/10.1007/s00181-023-02402-0
https://dlib.phenikaa-uni.edu.vn/handle/PNK/7738
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spelling oai:localhost:PNK-77382023-04-11T02:04:41Z Identification and estimation of categorical random coefficient models Zhan, Gao M. Hashem, Pesaran categorical random coefficient models CC BY This paper proposes a linear categorical random coefficient model, in which the random coefficients follow parametric categorical distributions. The distributional parameters are identified based on a linear recurrence structure of moments of the random coefficients. A generalized method of moments estimation procedure is proposed, also employed by Peter Schmidt and his coauthors to address heterogeneity in time effects in panel data models. Using Monte Carlo simulations, we find that moments of the random coefficients can be estimated reasonably accurately, but large samples are required for the estimation of the parameters of the underlying categorical distribution. 2023-04-11T02:04:41Z 2023-04-11T02:04:41Z 2023 Book https://link.springer.com/article/10.1007/s00181-023-02402-0 https://dlib.phenikaa-uni.edu.vn/handle/PNK/7738 en application/pdf Springer
institution Digital Phenikaa
collection Digital Phenikaa
language English
topic categorical random coefficient models
spellingShingle categorical random coefficient models
Zhan, Gao
M. Hashem, Pesaran
Identification and estimation of categorical random coefficient models
description CC BY
format Book
author Zhan, Gao
M. Hashem, Pesaran
author_facet Zhan, Gao
M. Hashem, Pesaran
author_sort Zhan, Gao
title Identification and estimation of categorical random coefficient models
title_short Identification and estimation of categorical random coefficient models
title_full Identification and estimation of categorical random coefficient models
title_fullStr Identification and estimation of categorical random coefficient models
title_full_unstemmed Identification and estimation of categorical random coefficient models
title_sort identification and estimation of categorical random coefficient models
publisher Springer
publishDate 2023
url https://link.springer.com/article/10.1007/s00181-023-02402-0
https://dlib.phenikaa-uni.edu.vn/handle/PNK/7738
_version_ 1762909082068451328
score 8.891145

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