IDEAS home Printed from https://ideas.repec.org/p/bls/wpaper/497.html
   My bibliography  Save this paper

Estimation of Average Marginal Effects in Multiplicative Unobserved Effects Panel Models

Author

Listed:
  • Robert S. Martin

Abstract

In multiplicative unobserved efffects panel models for nonnegative dependent variables, estimation of average marginal effects would seem problematic with a large cross section and few time periods due to the incidental parameters problem. While fixed effects Poisson consistently estimates the slope parameters of the conditional mean function, marginal effects generally depend on the unobserved heterogeneity. However, I show that a class of fixed effects averages is consistent and asymptotically normal with only the cross section growing. This implies researchers can estimate average treatment effects in levels as opposed to settling for average proportional effects.

Suggested Citation

  • Robert S. Martin, 2017. "Estimation of Average Marginal Effects in Multiplicative Unobserved Effects Panel Models," Economic Working Papers 497, Bureau of Labor Statistics.
    • Handle: RePEc:bls:wpaper:497
    as

    Download full text from publisher

    File URL: https://www.bls.gov/osmr/research-papers/2017/pdf/ec170050.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Wooldridge, Jeffrey M., 1999. "Distribution-free estimation of some nonlinear panel data models," Journal of Econometrics, Elsevier, vol. 90(1), pages 77-97, May.
    2. Cameron,A. Colin & Trivedi,Pravin K., 2013. "Regression Analysis of Count Data," Cambridge Books, Cambridge University Press, number 9781107667273.
    3. Hall, Bronwyn H & Griliches, Zvi & Hausman, Jerry A, 1986. "Patents and R and D: Is There a Lag?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 27(2), pages 265-283, June.
    4. Bronwyn H. Hall & Adam B. Jaffe & Manuel Trajtenberg, 2001. "The NBER Patent Citation Data File: Lessons, Insights and Methodological Tools," NBER Working Papers 8498, National Bureau of Economic Research, Inc.
    5. Wooldridge, Jeffrey M., 1997. "Multiplicative Panel Data Models Without the Strict Exogeneity Assumption," Econometric Theory, Cambridge University Press, vol. 13(5), pages 667-678, October.
    6. Blundell,Richard & Newey,Whitney K. & Persson,Torsten (ed.), 2007. "Advances in Economics and Econometrics," Cambridge Books, Cambridge University Press, number 9780521871532, September.
    7. Jeffrey M Wooldridge, 2010. "Econometric Analysis of Cross Section and Panel Data," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232588, April.
    8. Wooldridge, Jeffrey M, 1992. "Some Alternatives to the Box-Cox Regression Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(4), pages 935-955, November.
    9. Hausman, Jerry & Hall, Bronwyn H & Griliches, Zvi, 1984. "Econometric Models for Count Data with an Application to the Patents-R&D Relationship," Econometrica, Econometric Society, vol. 52(4), pages 909-938, July.
    10. Blundell,Richard & Newey,Whitney & Persson,Torsten (ed.), 2007. "Advances in Economics and Econometrics," Cambridge Books, Cambridge University Press, number 9780521871549, September.
    11. Blundell,Richard & Newey,Whitney & Persson,Torsten (ed.), 2007. "Advances in Economics and Econometrics," Cambridge Books, Cambridge University Press, number 9780521692106, September.
    12. Myoung‐Jae Lee & Satoru Kobayashi, 2001. "Proportional treatment effects for count response panel data: effects of binary exercise on health care demand," Health Economics, John Wiley & Sons, Ltd., vol. 10(5), pages 411-428, July.
    13. Chamberlain, Gary, 1992. "Sequential Moment Restrictions in Panel Data: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 20-26, January.
    14. Blundell,Richard & Newey,Whitney K. & Persson,Torsten (ed.), 2007. "Advances in Economics and Econometrics," Cambridge Books, Cambridge University Press, number 9780521692090, September.
    15. Lancaster, Tony, 2000. "The incidental parameter problem since 1948," Journal of Econometrics, Elsevier, vol. 95(2), pages 391-413, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jeffrey M Wooldridge, 2023. "Simple approaches to nonlinear difference-in-differences with panel data," The Econometrics Journal, Royal Economic Society, vol. 26(3), pages 31-66.
    2. Nicholas Brown & Jeffrey Wooldridge, 2023. "More Efficient Estimation of Multiplicative Panel Data Models in the Presence of Serial Correlation," Working Paper 1497, Economics Department, Queen's University.
    3. Cäcilia Lipowski & Ralf A. Wilke & Bertrand Koebel, 2022. "Fertility, economic incentives and individual heterogeneity: Register data‐based evidence from France and Germany," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(S2), pages 515-546, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Sheng-Pin Hsueh & Wei-Ming Lee, 2012. "A revisit to the relationship between patents and R&D using empirical likelihood estimation," Economics Bulletin, AccessEcon, vol. 32(2), pages 1208-1214.
    2. Schumann, Martin & Severini, Thomas A. & Tripathi, Gautam, 2021. "Integrated likelihood based inference for nonlinear panel data models with unobserved effects," Journal of Econometrics, Elsevier, vol. 223(1), pages 73-95.
    3. repec:hal:spmain:info:hdl:2441/eu4vqp9ompqllr09j0031f620 is not listed on IDEAS
    4. Geert Dhaene & Koen Jochmans, 2015. "Split-panel Jackknife Estimation of Fixed-effect Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(3), pages 991-1030.
    5. Deb Partha & Trivedi Pravin K., 2013. "Finite Mixture for Panels with Fixed Effects," Journal of Econometric Methods, De Gruyter, vol. 2(1), pages 35-51, July.
    6. Geert Dhaene & Koen Jochmans, 2011. "Profile-score Adjustements for Nonlinearfixed-effect Models," Working Papers hal-01073733, HAL.
    7. repec:hal:wpspec:info:hdl:2441/eu4vqp9ompqllr09j0031f620 is not listed on IDEAS
    8. repec:spo:wpmain:info:hdl:2441/eu4vqp9ompqllr09j0031f620 is not listed on IDEAS
    9. repec:spo:wpecon:info:hdl:2441/eu4vqp9ompqllr09j0031f620 is not listed on IDEAS
    10. Hoderlein, Stefan & White, Halbert, 2012. "Nonparametric identification in nonseparable panel data models with generalized fixed effects," Journal of Econometrics, Elsevier, vol. 168(2), pages 300-314.
    11. repec:spo:wpmain:info:hdl:2441/eu4vqp9ompqllr09ij4j0h0h1 is not listed on IDEAS
    12. Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor & Varneskov, Rasmus T., 2019. "Unified inference for nonlinear factor models from panels with fixed and large time span," Journal of Econometrics, Elsevier, vol. 212(1), pages 4-25.
    13. Yingying Dong & Arthur Lewbel, 2015. "A Simple Estimator for Binary Choice Models with Endogenous Regressors," Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 82-105, February.
    14. Pakel, Cavit, 2019. "Bias reduction in nonlinear and dynamic panels in the presence of cross-section dependence," Journal of Econometrics, Elsevier, vol. 213(2), pages 459-492.
    15. Irene Botosaru & Chris Muris, 2017. "Binarization for panel models with fixed effects," CeMMAP working papers 31/17, Institute for Fiscal Studies.
    16. Duncan, Kevin Davey, 2020. "Three papers in regional dynamics and panel econometrics," ISU General Staff Papers 202001010800009129, Iowa State University, Department of Economics.
    17. repec:hal:spmain:info:hdl:2441/f6h8764enu2lskk9p2m9mgp8l is not listed on IDEAS
    18. repec:spo:wpecon:info:hdl:2441/eu4vqp9ompqllr09ij4j0h0h1 is not listed on IDEAS
    19. Beneito, Pilar & Rochina-Barrachina, María Engracia & Sanchis, Amparo, 2015. "The path of R&D efficiency over time," International Journal of Industrial Organization, Elsevier, vol. 42(C), pages 57-69.
    20. Jan F. Kiviet & Qu Feng, 2014. "Efficiency Gains by Modifying GMM Estimation in Linear Models under Heteroskedasticity," UvA-Econometrics Working Papers 14-06, Universiteit van Amsterdam, Dept. of Econometrics.
    21. P. Dorian Owen, 2017. "Evaluating Ingenious Instruments for Fundamental Determinants of Long-Run Economic Growth and Development," Econometrics, MDPI, vol. 5(3), pages 1-33, September.
    22. A. Colin Cameron & Douglas L. Miller, 2015. "A Practitioner’s Guide to Cluster-Robust Inference," Journal of Human Resources, University of Wisconsin Press, vol. 50(2), pages 317-372.
    23. Antonio F. Galvao & Kengo Kato, 2014. "Estimation and Inference for Linear Panel Data Models Under Misspecification When Both n and T are Large," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 285-309, April.
    24. Galvao, Antonio F. & Kato, Kengo, 2016. "Smoothed quantile regression for panel data," Journal of Econometrics, Elsevier, vol. 193(1), pages 92-112.
    25. Lu, Xun & Su, Liangjun, 2020. "Determining individual or time effects in panel data models," Journal of Econometrics, Elsevier, vol. 215(1), pages 60-83.
    26. repec:spo:wpmain:info:hdl:2441/f6h8764enu2lskk9p2m9mgp8l is not listed on IDEAS
    27. Bryan S. Graham & James Powell, 2008. "Identification and Estimation of 'Irregular' Correlated Random Coefficient Models," NBER Working Papers 14469, National Bureau of Economic Research, Inc.
    28. Shuowen Chen, 2022. "Indirect Inference for Nonlinear Panel Models with Fixed Effects," Papers 2203.10683, arXiv.org, revised Apr 2022.

    More about this item

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bls:wpaper:497. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jennifer Cassidy-Gilbert (email available below). General contact details of provider: https://edirc.repec.org/data/blsgvus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.