Bayesian Panel Data Model Based on Markov Chain Monte Carlo

摘要

The general aim of this paper is to deal with problems of estimation , prediction, and model building for panel data model .Bayesian approach based on Markov chain Monte Carlo (MCMC) employed to make inferences on panel data model coefficients under some conditions on the prior distribution . We investigate the posterior density and identify the analytic form of the Bayes factor for checking the model.