A simple method for estimating unconditional heterogeneity distributions in correlated random effects models

I propose a general, simple approach to recovering an unconditional heterogeneity distribution when a conditional distribution has been estimated. The approach can be applied to cross section models and panel data models-both static and dynamic-with unobserved heterogeneity.

► I propose a way to generally estimate an unconditional heterogeneity distribution. ► An identified conditional heterogeneity distribution is required. ► Estimation is straightforward and requires a simple averaging. ► Applications to several correlated random effects panel data models are provided.