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Bayesian Dynamic Panel Data Model

Bayesian dynamic panel data model extends standard dynamic panel models — which include a lagged dependent variable to capture state dependence — by estimating all parameters within a Bayesian framework. Prior distributions are combined with the likelihood to yield a full posterior distribution over model parameters, enabling probabilistic inference and coherent uncertainty quantification even in short panels.

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Источники

  1. Hsiao, C., Pesaran, M. H., & Tahmiscioglu, A. K. (2002). Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods. Journal of Econometrics, 109(1), 107–150. DOI: 10.1016/S0304-4076(01)00143-9
  2. Arellano, M., & Bonhomme, S. (2007). Robust priors in nonlinear panel data models. Econometrica, 77(2), 489–536. DOI: 10.1920/wp.cem.2007.0707

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ScholarGate. (2026, June 3). Bayesian Dynamic Panel Data Model. ScholarGate. https://scholargate.app/ru/econometrics/bayesian-dynamic-panel-data-model

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ScholarGateBayesian Dynamic Panel Data Model (Bayesian Dynamic Panel Data Model). Получено 2026-06-15 из https://scholargate.app/ru/econometrics/bayesian-dynamic-panel-data-model · Набор данных: https://doi.org/10.5281/zenodo.20539026