SSE/EFI Working Paper Series in Economics and Finance
Panel Regression with Unobserved Classes
() and Mattias Villani
Abstract: We propose a panel regression model with a predetermined
and fixed number of classes, where each class is defined by its parameters,
but any reference as to which group any observation belongs to is absent.
The classes or groups are rationalized by a willingness to attribute some
of the observed heterogeneity on a higher level than the individual. The
estimation procedures have a distinct Bayesian flavor, relying on the Gibbs
sampler for parameter estimation, a method proven effective in situations
with missing or latent variables.
Keywords: Panel data; Bayesian statistics; (follow links to similar papers)
JEL-Codes: C11; C33; (follow links to similar papers)
19 pages, January 24, 2000
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