Title

Adaptive Estimation of the Dynamic Linear Model with Fixed Effects

Document Type

Report

Publication Date

9-2002

Abstract

Recent financial instability has called into question the sufficiency of low inflation as a gThis paper shows how the dynamic linear model with fixed regressors can be efficiently estimated. This dynamic model can be used to distinguish spurious correlation from state dependence and we show that the integrated likelihood estimator is adaptive for any asymptotics with T increasing where T is the number of observations per individual.