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This paper develops semiparametric Bayesian methods for inference in dynamic linear panel data models, and applies them to longitudinal data on labor earnings from the Panel Study of Income Dynamics. We focus on characterizing not only parameters related to conditional means and variances, but...
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with the noisy rational expectations hypothesis. We find that in contrast to theory, for horizons close to two years, there … relationship becomes one-to-one, as the theory would predict. …
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posteriors is critical to selecting priors that work, the large sample theory is developed systematically, illustrated by various …
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