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20 octobre 2023
- 2310.13785
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Economics - EconometricsSujets proches
Fortunes Household income Personal income Family income Pattern ModelCiter ce document
Hyungsik Roger Moon et al., « Bayesian Estimation of Panel Models under Potentially Sparse Heterogeneity », arXiv - économie
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Résumé
We incorporate a version of a spike and slab prior, comprising a pointmass at zero ("spike") and a Normal distribution around zero ("slab") into a dynamic panel data framework to model coefficient heterogeneity. In addition to homogeneity and full heterogeneity, our specification can also capture sparse heterogeneity, that is, there is a core group of units that share common parameters and a set of deviators with idiosyncratic parameters. We fit a model with unobserved components to income data from the Panel Study of Income Dynamics. We find evidence for sparse heterogeneity for balanced panels composed of individuals with long employment histories.