Shrinkage in a Bayesian Panel Data Model with Time-Varying Coefficients

Roman Pfeiler; Helga Wagner

doi:10.1007/978-3-031-65723-8_17

Shrinkage in a Bayesian Panel Data Model with Time-Varying Coefficients

Roman Pfeiler, Helga Wagner

Department of Medical Statistics and Biometry

Research output: Chapter in Book/Report/Conference proceeding › Conference proceedings › peer-review

Abstract

We consider regression models for panel data, where regression effects and within subject dependence are allowed to vary over time. We adopt a Bayesian approach with priors that allow shrinkage to constant and zero effects as well as to simpler dependence structures. The model is evaluated in a simulation study and applied to the analysis of yearly earnings of mothers in Austria who returned to the labour market after maternity leave.

Original language	English
Title of host publication	Developments in Statistical Modelling
Editors	Jochen Einbeck, Hyeyoung Maeng, Emmanuel Ogundimu, Konstantinos Perrakis
Place of Publication	Cham, Schweiz
Publisher	Springer
Pages	109-115
Number of pages	7
DOIs	https://doi.org/10.1007/978-3-031-65723-8_17
Publication status	Published - 2024

Fields of science

101018 Statistics
102009 Computer simulation
502025 Econometrics

Access to Document

10.1007/978-3-031-65723-8_17

Bayesian statistics and MCMC methods
Hainy, M. (Researcher) & Wagner, H. (PI)
01.01.2012 → 31.12.2025
Project: Other › Project from scientific scope of research unit
Applications of Statistical Methods
Bitto-Nemling, A. (Researcher), Futschik, A. (Researcher), Hainy, M. (Researcher), Müller, W. (Researcher), Quatember, A. (Researcher), Tubikanec, I. (Researcher), Wagner, H. (Researcher), Waldl, H. (Researcher) & Duller, C. (PI)
01.01.2012 → 31.12.2032
Project: Other › Project from scientific scope of research unit

Cite this

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title = "Shrinkage in a Bayesian Panel Data Model with Time-Varying Coefficients",

abstract = "We consider regression models for panel data, where regression effects and within subject dependence are allowed to vary over time. We adopt a Bayesian approach with priors that allow shrinkage to constant and zero effects as well as to simpler dependence structures. The model is evaluated in a simulation study and applied to the analysis of yearly earnings of mothers in Austria who returned to the labour market after maternity leave.",

author = "Roman Pfeiler and Helga Wagner",

year = "2024",

doi = "10.1007/978-3-031-65723-8\_17",

language = "English",

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editor = "\{Jochen Einbeck, Hyeyoung Maeng, Emmanuel Ogundimu, Konstantinos Perrakis\}",

booktitle = "Developments in Statistical Modelling",

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}

Shrinkage in a Bayesian Panel Data Model with Time-Varying Coefficients. / Pfeiler, Roman ; Wagner, Helga.
Developments in Statistical Modelling. ed. / Jochen Einbeck, Hyeyoung Maeng, Emmanuel Ogundimu, Konstantinos Perrakis. Cham, Schweiz: Springer, 2024. p. 109-115.

Research output: Chapter in Book/Report/Conference proceeding › Conference proceedings › peer-review

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AB - We consider regression models for panel data, where regression effects and within subject dependence are allowed to vary over time. We adopt a Bayesian approach with priors that allow shrinkage to constant and zero effects as well as to simpler dependence structures. The model is evaluated in a simulation study and applied to the analysis of yearly earnings of mothers in Austria who returned to the labour market after maternity leave.

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Shrinkage in a Bayesian Panel Data Model with Time-Varying Coefficients

Abstract

Fields of science

Access to Document

Projects

Bayesian statistics and MCMC methods

Applications of Statistical Methods

Cite this