In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are based on average pair-wise residual correlation coefficients. In nonlinear models, the definition of the residual is ambiguous and we consider two approaches: deviations of the...

This study is concerned with estimating the mean of the coefficients in a dynamic panel data model when the coefficients are assumed to be randomly distributed across cross- sectional units. The authors suggest a Bayes approach to the estimation of such models using Markov chain Monte Carlo...

This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random coefficients models and suggests a common framework for dealing with them. It considers the fundamental issues of statistical inference of a random coefficients formulation using...