scholarly journals Modelling Time-Varying Parameters in Panel Data State-Space Frameworks: An Application to the Feldstein–Horioka Puzzle

2019 ◽  
Vol 56 (1) ◽  
pp. 87-114 ◽  
Author(s):  
Mariam Camarero ◽  
Juan Sapena ◽  
Cecilio Tamarit
Keyword(s):  
Panel Data ◽  
State Space ◽  
Time Varying ◽  
Varying Parameters ◽  
Time Varying Parameters

Panel conditional and multinomial logit with time-varying parameters

2015 ◽  
Vol 19 (3) ◽  
Author(s):  
Myoung-jae Lee
Keyword(s):  
Panel Data ◽  
Dynamic Model ◽  
Time Constant ◽  
Unobserved Heterogeneity ◽  
Multinomial Logit ◽  
Model Parameters ◽  
Time Varying ◽  
Varying Parameters ◽  
Conditional Logit ◽  
Time Varying Parameters

AbstractPanel conditional logit estimators (PCLE) in the literature use mostly time-constant parameters. If the panel periods are volatile or long, however, the model parameters can change much. Hence this paper generalizes PCLE with time-constant parameters to PCLE with time-varying parameters; both static and dynamic PCLE are considered for this. The main finding is that time-varying parameters are fully allowed for static PCLE and the dynamic “pseudo” PCLE of [Bartolucci, F. and V. Nigro. 2010. “A Dynamic Model for Binary Panel Data with Unobserved Heterogeneity Admitting a

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