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Panel Data Models With Finite Number Of Multiple Equilibria

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Listed author(s):
  • Hahn, Jinyong
  • Moon, Hyungsik Roger

Abstract

We study a nonlinear panel data model in which the fixed effects are assumed to have finite support. The fixed effects estimator is known to have the incidental parameters problem. We contribute to the literature by making a qualitative observation that the incidental parameters problem in this model may not be not as severe as in the conventional case. Because fixed effects have finite support, the probability of correctly identifying the fixed effect converges to one even when the cross sectional dimension grows as fast as some exponential function of the time dimension. As a consequence, the finite sample bias of the fixed effects estimator is expected to be small.

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File URL: http://journals.cambridge.org/abstract_S0266466609990132
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Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 26 (2010)
Issue (Month): 03 (June)
Pages: 863-881

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Handle: RePEc:cup:etheor:v:26:y:2010:i:03:p:863-881_99
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Cited by:

  1. Victor Aguirregabiria & Pedro Mira, 2013. "Identification of Games of Incomplete Information with Multiple Equilibria and Common Unobserved Heterogeneity," Working Papers tecipa-474, University of Toronto, Department of Economics.
  2. Stéphane Bonhomme & Elena Manresa, 2012. "Grouped Patterns of Heterogeneity in Panel Data," Working Papers wp2012_1208, CEMFI.
  3. Áureo de Paula, 2013. "Econometric Analysis of Games with Multiple Equilibria," Annual Review of Economics, Annual Reviews, vol. 5(1), pages 107-131, 05.

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