Growth Empirics: a Bayesian Semiparametric Model With Random Coefficients for a Panel of OECD Countries
Essays in Honor of Cheng Hsiao
ISBN: 978-1-78973-958-9, eISBN: 978-1-78973-957-2
Publication date: 15 April 2020
Abstract
This chapter proposes semiparametric estimation of the relationship between growth rate of GDP per capita, growth rates of physical and human capital, labor as well as other covariates and common trends for a panel of 23 OECD countries observed over the period 1971–2015. The observed differentiated behaviors by country reveal strong heterogeneity. This is the motivation behind using a mixed fixed- and random coefficients model to estimate this relationship. In particular, this chapter uses a semiparametric specification with random intercepts and slopes coefficients. Motivated by Lee and Wand (2016), the authors estimate a mean field variational Bayes semiparametric model with random coefficients for this panel of countries. Results reveal nonparametric specifications for the common trends. The use of this flexible methodology may enrich the empirical growth literature underlining a large diversity of responses across variables and countries.
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Acknowledgements
Acknowledgments
This chapter is written in honor of Professor Cheng Hsiao’s valuable contributions to econometrics. We thank the editors M. Hashem Pesaran, Tong Li, Dek Terrell, an anonymous referee, Thomas Fomby, Robin Sickles, and the participants of the Advances in Econometrics Conference in honor of Cheng Hsiao (LSU, October 26–28, 2018) for their valuable comments and suggestions which were very helpful for revising and improving our manuscript. We are also grateful to participants of the 23rd International Conference on Panel Data (IPDC 2017, Thessaloniki, July 7–8, 2017) and especially Almas Heshmati for valuable comments. We thank Jean-Etienne Carlotti for providing us the OECD data sets. The usual disclaimers apply.
Citation
Baltagi, B.H., Bresson, G. and Etienne, J.-M. (2020), "Growth Empirics: a Bayesian Semiparametric Model With Random Coefficients for a Panel of OECD Countries", Li, T., Pesaran, M.H. and Terrell, D. (Ed.) Essays in Honor of Cheng Hsiao (Advances in Econometrics, Vol. 41), Emerald Publishing Limited, Leeds, pp. 217-253. https://doi.org/10.1108/S0731-905320200000041007
Publisher
:Emerald Publishing Limited
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