Bayesian Estimation of Panel Models under Potentially Sparse Heterogeneity
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arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2023
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| Acceso en línea: | |
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| _version_ | 1866909094146736128 |
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| author | Moon, Hyungsik Roger Schorfheide, Frank Zhang, Boyuan |
| author_facet | Moon, Hyungsik Roger Schorfheide, Frank Zhang, Boyuan |
| contents | We incorporate a version of a spike and slab prior, comprising a pointmass at zero ("spike") and a Normal distribution around zero ("slab") into a dynamic panel data framework to model coefficient heterogeneity. In addition to homogeneity and full heterogeneity, our specification can also capture sparse heterogeneity, that is, there is a core group of units that share common parameters and a set of deviators with idiosyncratic parameters. We fit a model with unobserved components to income data from the Panel Study of Income Dynamics. We find evidence for sparse heterogeneity for balanced panels composed of individuals with long employment histories. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2310_13785 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Bayesian Estimation of Panel Models under Potentially Sparse Heterogeneity Moon, Hyungsik Roger Schorfheide, Frank Zhang, Boyuan Econometrics We incorporate a version of a spike and slab prior, comprising a pointmass at zero ("spike") and a Normal distribution around zero ("slab") into a dynamic panel data framework to model coefficient heterogeneity. In addition to homogeneity and full heterogeneity, our specification can also capture sparse heterogeneity, that is, there is a core group of units that share common parameters and a set of deviators with idiosyncratic parameters. We fit a model with unobserved components to income data from the Panel Study of Income Dynamics. We find evidence for sparse heterogeneity for balanced panels composed of individuals with long employment histories. |
| title | Bayesian Estimation of Panel Models under Potentially Sparse Heterogeneity |
| topic | Econometrics |
| url | https://arxiv.org/abs/2310.13785 |