Random Coe¢ cient Panel Data Models

This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random coe¢ cients models and suggests a common framework for dealing with them. It considers the fundamental issues of statistical inference of a random coe¢ cients formulation using both the sampling and Bayesian approaches. The paper also provides a review of heterogeneous dynamic panels, testing for homogeneity under weak exogeneity, simultaneous equation random coe¢ cient models, and the more recent developments in the area of cross-sectional dependence in panel data models.

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