English, Article, Journal or magazine article edition: Fixed and Random Effects in Classical and Bayesian Regression Silvio Rendón

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Bookmark: http://trove.nla.gov.au/version/153232
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • FIXED AND RANDOM EFFECTS IN CLASSICAL AND BAYESIAN REGRESSION
Author
  • Silvio Rendón
Physical Description
  • preprint
Notes
  • This paper proposes a common and tractable framework for analyzing different definitions of fixed and random effects in a contant-slope variable-intercept model. It is shown that, regardless of whether effects (i) are treated as parameters or as an error term, (ii) are estimated in different stages of a hierarchical model, or whether (iii) correlation between effects and regressors is allowed, when the same information on effects is introduced into all estimation methods, the resulting slope estimator is also the same across methods. If different methods produce different results, it is ultimately because different information is being used for each methods.
  • Bayes, panel data, nuisance parameters, fixed effects, random effects
  • RePEc:upf:upfgen:613
  • This paper proposes a common and tractable framework for analyzing different definitions of fixed and random effects in a constant-slope variable-intercept model. It is shown that, regardless of whether effects (i) are treated as parameters or as an error term, (ii) are estimated in different stages of a hierarchical model, or whether (iii) correlation between effects and regressor is allowed, when the same information on effects is introduced into all estimation methods, the resulting slope estimator is also the same across methods. If different methods produce different results, is is ultimately because different information is being used for each method.
  • RePEc:cte:werepe:we021503
Language
  • English
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