Recursive estimation in large panel data models: Theory and practice

journal contribution

posted on 2022-11-09, 02:41 authored by Bing Jiang, Yanrong Yang, Jiti Gao, Cheng Hsiao

Bai (2009) proposes a recursive least-squares estimation method for large panel data models

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--

Creation date

2017-02-22

Working Paper Series Number

5/17

Length

40

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application/pdf

Handle

RePEc:msh:ebswps:2017-5

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Keywords

Bayesian average conditional mean estimation ergodic theorem summary statistic.

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