RANDOM COEFFICIENT MODELS: THEORY AND APPLICATIONS
综述了随机系数模型在计量经济学中的原理、估计、检验和验证方法，并展示了其如何包含固定系数模型作为特例，最后回顾了近期应用。
Abstract. This paper provides an overview of the rationale behind, and the implementation, and uses of, the random coefficient approach to econometric modelling. A simple random coefficient model is presented, and methods for estimating, testing, and validating such a model are described. A more general model is then presented. The general model is shown to include several fixed‐coefficient models as special cases and can be estimated incorporating a variety of judgements concerning simplification. Finally, the paper reviews recent applications of random coefficient estimation.