| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4637 |
| DP4637 Measurement Error in Education and Growth Regressions | |
| Coen N. Teulings; Rob Alessie; Miguel Portela | |
| 发表日期 | 2004-09-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | We propose to use the attractiveness of pooling relatively short time series that display similar dynamics, but without restricting to pooling all into one group. We suggest estimating the appropriate grouping of time series simultaneously along with the group-specific model parameters. We cast estimation into the Bayesian framework and use Markov chain Monte Carlo simulation methods. We discuss model identification and base model selection on marginal likelihoods. A simulation study documents the efficiency gains in estimation and forecasting that are realized when appropriately grouping the time series of a panel. Two economic applications illustrate the usefulness of the method in analysing also extensions to Markov switching within clusters and heterogeneity within clusters, respectively. |
| 主题 | International Macroeconomics |
| 关键词 | Panel data Clustering Mixture modelling Markov switching Markov chain monte carlo |
| URL | https://cepr.org/publications/dp4637 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533557 |
| 推荐引用方式 GB/T 7714 | Coen N. Teulings,Rob Alessie,Miguel Portela. DP4637 Measurement Error in Education and Growth Regressions. 2004. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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