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date: 02 April 2020

Abstract and Keywords

This chapter discusses the basic influential methods for random co-efficients models from both sampling approach and Bayesian approach. It also argues that whether the unobserved heterogeneity should be treated as fixed or random is better considered from a model selection perspective rather than from a hypothesis testing perspective. An example demonstrating the importance of taking into account parameter heterogeneity in empirical analysis is also provided.

Keywords: panel data, econometrics, parameter heterogeneity, heterogeneity, unobserved differences

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