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.
Source record
Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.
- Swamy, P. A. V. B. (1970). Efficient inference in a random coefficient regression model. Econometrica, 38(2), 311–323. · DOI 10.2307/1913012
- Hsiao, C. (1975). Some estimation methods for a random coefficient model. Econometrica, 43(2), 305–325. · DOI 10.2307/1913588
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Related methods
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