Regression modelEconometrics / time series
Bayesian Panel Data Analysis
Bayesian panel data analysis applies Bayesian inference to models with repeated observations on multiple units. By placing prior distributions on coefficients and variance components, it merges prior knowledge with the observed panel likelihood to produce full posterior distributions for fixed or random effects, slope heterogeneity, and variance parameters — rather than point estimates and asymptotic standard errors.
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Sources
- Hsiao, C. (2003). Analysis of Panel Data (2nd ed.). Cambridge University Press. ISBN: 978-0521522717
- Zellner, A. (1971). An Introduction to Bayesian Inference in Econometrics. Wiley. ISBN: 978-0471169376