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Analytical bias correction for two-step fixed effects models with copula-distributed errors

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  • Naguib, Costanza

Abstract

We derive an analytical bias correction for two-step fixed effects models with copula-distributed errors. We work out the approximate bias correction for the Gaussian copula and present a numerical computation exercise for three other copula families. The results are derived for both n and T large.

Suggested Citation

  • Naguib, Costanza, 2022. "Analytical bias correction for two-step fixed effects models with copula-distributed errors," Economics Letters, Elsevier, vol. 215(C).
    • Handle: RePEc:eee:ecolet:v:215:y:2022:i:c:s0165176522001264
    DOI: 10.1016/j.econlet.2022.110498
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    References listed on IDEAS

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    1. Stéphane Bonhomme & Jean-Marc Robin, 2009. "Assessing the Equalizing Force of Mobility Using Short Panels: France, 1990-2000," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 76(1), pages 63-92.
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    3. Fernández-Val, Iván & Vella, Francis, 2011. "Bias corrections for two-step fixed effects panel data estimators," Journal of Econometrics, Elsevier, vol. 163(2), pages 144-162, August.
    4. Matias D Cattaneo & Michael Jansson & Xinwei Ma, 2019. "Two-Step Estimation and Inference with Possibly Many Included Covariates," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 86(3), pages 1095-1122.
    5. Matias D Cattaneo & Michael Jansson & Xinwei Ma, 2019. "Two-Step Estimation and Inference with Possibly Many Included Covariates," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 86(3), pages 1095-1122.
    6. repec:spo:wpmain:info:hdl:2441/eu4vqp9ompqllr09j008g6g0g is not listed on IDEAS
    7. Jinyong Hahn & Whitney Newey, 2004. "Jackknife and Analytical Bias Reduction for Nonlinear Panel Models," Econometrica, Econometric Society, vol. 72(4), pages 1295-1319, July.
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    Keywords

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    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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