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...

Cornwell, Schmidt, and Sickles (1990) and Kumbhakar (1990), among others, developed stochasticfrontier production models which allow firm specific inefficiency levels to change over time. These studies assumed arbitrary restrictions on the short-run dynamics of efficiency levels which have...

This paper generalizes the results of Hausman and Taylor (1981), Schmidt and Sickles (1984), Cornwell, Schmidt and Sickles (1990) and Park and Simar (1992) to the efficient IV estimation of panel models in which the random effects are correlated with a subset of the regressors. The model in...