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Split-panel jackknife estimation of fixed-effect models

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  • Geert Dhaene
  • Koen Jochmans

Abstract

We propose a jackknife for reducing the order of the bias of maximum likelihood estimates of nonlinear dynamic fixed-effect panel models.

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Paper provided by Sciences Po in its series Sciences Po publications with number info:hdl:2441/eu4vqp9ompqllr09ij4j0h0h1.

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Date of creation: Jan 2010
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Handle: RePEc:spo:wpmain:info:hdl:2441/eu4vqp9ompqllr09ij4j0h0h1

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Citations

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Cited by:
  1. Fernández-Val, Iván & Vella, Francis, 2007. "Bias Corrections for Two-Step Fixed Effects Panel Data Estimators," IZA Discussion Papers 2690, Institute for the Study of Labor (IZA).
  2. Marcus J Chambers & Maria Kyriacou, 2010. "Jackknife Bias Reduction in the Presence of a Unit Root," Economics Discussion Papers, University of Essex, Department of Economics 685, University of Essex, Department of Economics.
  3. Laura Hospido, 2007. "Modelling Heterogeneity And Dynamics In The Volatility Of Individual Wages," Working Papers, CEMFI wp2007_0717, CEMFI.
  4. Pesaran, Hashem & Chudik, Alexander, 2013. "Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 1317, Faculty of Economics, University of Cambridge.
  5. Fernández-Val, Iván & Savchenko, Yevgeniya & Vella, Francis, 2013. "Evaluating the Role of Individual Specific Heterogeneity in the Relationship Between Subjective Health Assessments and Income," IZA Discussion Papers 7651, Institute for the Study of Labor (IZA).
  6. Dennis Kristensen & Bernard Salanie, 2013. "Higher-order properties of approximate estimators," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP45/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  7. Sun, Yixiao & Kim, Min Seong, 2009. "k-step Bootstrap Bias Correction for Fixed Effects Estimators in Nonlinear Panel Models," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego qt9gn6n5mr, Department of Economics, UC San Diego.
  8. Alexander Chudik & M. Hashem Pesaran, 2013. "Large panel data models with cross-sectional dependence: a survey," Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas 153, Federal Reserve Bank of Dallas.
  9. Dennis Kristensen & Bernard Salanié, 2010. "Higher Order Improvements for Approximate Estimators," CAM Working Papers 2010-04, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
  10. Geert Dhaene & Koen Jochmans, 2011. "Profile-score Adjustements for Nonlinearfixed-effect Models," Sciences Po publications info:hdl:2441/eu4vqp9ompq, Sciences Po.
  11. Alvaro Escribano & Szabolcs Blazsek, 2012. "Patents, secret innovations and firm's rate of return : differential effects of the innovation leader," Economics Working Papers we1202, Universidad Carlos III, Departamento de Economía.
  12. Iván Fernández-Val & Martin Weidner, 2013. "Individual and time effects in nonlinear panel models with large N,T," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP60/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  13. repec:spo:wpecon:info:hdl:2441/eu4vqp9ompqllr09j0031f620 is not listed on IDEAS
  14. Alessandra Casarico & Paola Profeta & Chiara Pronzato, 2012. "On the local labor market determinants of female university enrolment in European regions," Carlo Alberto Notebooks, Collegio Carlo Alberto 278, Collegio Carlo Alberto.
  15. Hyungsik Roger Moon & Martin Weidner, 2013. "Dynamic linear panel regression models with interactive fixed effects," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP63/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

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