https://macropaperwarehouse.com/authors/wooyong-lee/Wooyong LeeHugo -- gohugo.ioen-ushttps://macropaperwarehouse.com/papers/identification-and-estimation-of-dynamic-random-coefficient-models/https://macropaperwarehouse.com/papers/identification-and-estimation-of-dynamic-random-coefficient-models/<p>This paper studies linear panel data models where regression coefficients are individual-specific (random coefficients) and regressors may be predetermined — that is, sequentially exogenous rather than strictly exogenous, as occurs when a lagged dependent variable appears on the right-hand side. The canonical example is the AR(1) model Yit = gamma_i + beta_i * Yi,t-1 + epsilon_it, where both the intercept and the autoregressive coefficient vary across individuals. The setting is short panels (small T), which rules out learning about individual-level coefficient values.</p>