Estimating Econometric Models with Fixed Effects
AbstractThe application of nonlinear fixed effects models in econometrics has often been avoided for two reasons, one methodological, one practical. The methodological question centers on a incidental parametres problem that raises questions about the statistical properties of the estimator. The practical one relates to the difficulty of estimating nonlinear models with possibly thousands of coefficients. This note will demonstrate that the second is in fact, a nonissue, and that in a very large number models of interest to practioners, estimation of the fixed effects model is quite feasible even in panels with huge numbers of groups.
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Bibliographic InfoPaper provided by New York University, Leonard N. Stern School of Business- in its series New York University, Leonard N. Stern School Finance Department Working Paper Seires with number 01-10.
Length: 14 pages
Date of creation: 2001
Date of revision:
Contact details of provider:
Postal: U.S.A.; New York University, Leonard N. Stern School of Business, Department of Economics . 44 West 4th Street. New York, New York 10012-1126
Phone: (212) 998-0100
Web page: http://w4.stern.nyu.edu/finance/
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PANEL DATA ; ECONOMETRICS ; ECONOMIC MODELS;
Other versions of this item:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
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