The purpose of this paper is to review recently development methods of estimation of nonlinear fixed effects panel data models with reduced bias properties. We begin by describing fixed effects estimators and the incidental parameters problem. Next the explain how to construct analytical bias correction of estimators, followed by bias correction of estimators, followed by bias correction of the moment equation, and bias corrections for the concentrated likelihood. We then turn to discuss other approaches leading to bias correction based on orthogonalization and their extensions. The remaining sections consider quasi maximum likelihood estimation for dynamic models, the estimation of marginal effects, and automatic methods based on simulation.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by CEMFI in its series Working Papers with number
wp2005_0507.
Find related papers by JEL classification: C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data
This paper has been announced in the following NEP Reports:
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)