Regression modelEconometrics / time series

Time-Varying Parameter Random Effects Model

The time-varying parameter random effects model extends the classic random effects panel framework by allowing regression coefficients to change over time and across units. Rather than imposing a single fixed slope for all individuals and periods, each coefficient is treated as a random draw that evolves, capturing genuine parameter instability while preserving the random effects assumption that unit-specific components are uncorrelated with the regressors.

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Sources

  1. Swamy, P. A. V. B. (1970). Efficient inference in a random coefficient regression model. Econometrica, 38(2), 311–323. DOI: 10.2307/1913012
  2. Hsiao, C. (1975). Some estimation methods for a random coefficient model. Econometrica, 43(2), 305–325. DOI: 10.2307/1913587

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Referenced by

ScholarGateTime-varying parameter random effects model (Time-Varying Parameter Random Effects Model). Retrieved 2026-06-04 from https://scholargate.app/en/econometrics/time-varying-parameter-random-effects-model