Liu, Junrong; Sickles, Robin C.; Tsionas, E. G. - In: Econometrics 5 (2017) 3, pp. 1-21
This paper considers a linear panel data model with time varying heterogeneity. Bayesian inference techniques organized around Markov chain Monte Carlo (MCMC) are applied to implement new estimators that combine smoothness priors on unobserved heterogeneity and priors on the factor structure of...