Skip to main content

Random Coefficients Models

  • 1778 Accesses

Part of the Advanced Studies in Theoretical and Applied Econometrics book series (ASTA,volume 50)

Abstract

This chapter deals with specification, estimation and inference within the framework of a random coefficient model in the presence of higher dimensional panel data. Most of the chapter is concerned with a three-dimensional setting with an extension to higher dimensions at the end. We discuss several estimation methods, starting with the GLS made feasible by a new procedure for the estimation of the variance-covariance components, as well as an extension of the MINQUE approach for this setting.We also derive the full Maximum Likelihood and a Restricted Maximum Likelihood estimators involving the maximization of the log-likelihood in a subset of the parameter space for an independent estimation of the variancecovariance elements. Furthermore, we design specification tests that allow to determine if the response coefficients are constant or varying. Additionally, we present different extensions of the linear model including unbalanced panels, correlated random components and correlation of the stochastic elements with the regressors. Finally, the chapter ends with brief discussions of non-linear and higher dimensional extensions as well as a simulation experiment comparing the performance of the above methods in a finite sample setting.

This is a preview of subscription content, access via your institution.

Buying options

Chapter
USD   29.95
Price excludes VAT (USA)
  • DOI: 10.1007/978-3-319-60783-2_5
  • Chapter length: 37 pages
  • Instant PDF download
  • Readable on all devices
  • Own it forever
  • Exclusive offer for individuals only
  • Tax calculation will be finalised during checkout
eBook
USD   189.00
Price excludes VAT (USA)
  • ISBN: 978-3-319-60783-2
  • Instant PDF download
  • Readable on all devices
  • Own it forever
  • Exclusive offer for individuals only
  • Tax calculation will be finalised during checkout
Softcover Book
USD   249.99
Price excludes VAT (USA)
Hardcover Book
USD   249.99
Price excludes VAT (USA)

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Author information

Authors and Affiliations

Authors

Editor information

Editors and Affiliations

Rights and permissions

Reprints and Permissions

Copyright information

© 2017 Springer International Publishing AG

About this chapter

Cite this chapter

Krishnakumar, J., Avila Márquez, M., Balazsi, L. (2017). Random Coefficients Models. In: Matyas, L. (eds) The Econometrics of Multi-dimensional Panels. Advanced Studies in Theoretical and Applied Econometrics, vol 50. Springer, Cham. https://doi.org/10.1007/978-3-319-60783-2_5

Download citation