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approaches for estimation and inference, with particular emphasis on inference since nothing can be learned from estimation …, but recent work indicates that reducing dimensionality using eigensystem techniques may improve estimation accuracy …
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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...
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