Detecting homogenous predictors in high-dimensional panel model with an MCMC algorithm

DOI10.1080/03610918.2016.1241401zbMath1462.62325OpenAlexW2527402990MaRDI QIDQ4607391

Wei Lan, Ronghua Luo

Publication date: 13 March 2018

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2016.1241401

zbMATH Keywords

hierarchical Bayesian modelMCMC algorithmhigh-dimensional panel datahomogenous effect

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Bayesian inference (62F15)

Uses Software

• bayesm

Cites Work

• Unnamed Item
• Testing slope homogeneity in large panels
• Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
• The econometrics of panel data. Handbook of theory and applications.
• Contour projected dimension reduction
• Estimating the dimension of a model
• Eigenvalue Ratio Test for the Number of Factors
• Analysis of Panel Data
• Bayesian Statistics and Marketing
• Dynamic panel estimation and homogeneity testing under cross section dependence
• TESTING HOMOGENEITY IN PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS
• A Nonparametric Poolability Test for Panel Data Models with Cross Section Dependence
• Efficient Inference in a Random Coefficient Regression Model
• The econometrics of panel data. Handbook of theory and applications.

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