latent heterogeneity for panel probit models. Within a Bayesian framework an estimation algorithm dealing with the inherent … ; MCMC Methods ; Panel Probit Model ; Mixture Modelling …

In the context of an autoregressive panel data model with fixed effect, we examine the relationship between consistent …. -- dynamic panel data model with fixed effect ; incidental parameter problem ; consistency in estimation ; model selection …

under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is … unavailable, such as the linear AR(p) panel model. For the AR(p) model, there exists a correction function to fix the incidental … in both parameter estimation and model selection. -- dynamic panel data model with fixed effect ; incidental parameter …

This paper extends the work of Baltagi et al. (2018) to the popular dynamic panel data model. We investigate the … robustness of Bayesian panel data models to possible misspecication of the prior distribution. The proposed robust Bayesian … specifications which includes the dynamic panel model with random effects, with cross-correlated effects à la Chamberlain, for the …