Understanding Bias In Nonlinear Panel Models: Some Recent Developments
The purpose of this paper is to review recently development methods of estimation of nonlinear fixed effects panel data models with reduced bias properties. We begin by describing fixed effects estimators and the incidental parameters problem. Next the explain how to construct analytical bias correction of estimators, followed by bias correction of estimators, followed by bias correction of the moment equation, and bias corrections for the concentrated likelihood. We then turn to discuss other approaches leading to bias correction based on orthogonalization and their extensions. The remaining sections consider quasi maximum likelihood estimation for dynamic models, the estimation of marginal effects, and automatic methods based on simulation.
|Date of creation:||Oct 2005|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.cemfi.es/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hahn, Jinyong & Kuersteiner, Guido, 2011. "Bias Reduction For Dynamic Nonlinear Panel Models With Fixed Effects," Econometric Theory, Cambridge University Press, vol. 27(06), pages 1152-1191, December.
- Lancaster, Tony, 2002. "Orthogonal Parameters and Panel Data," Review of Economic Studies, Wiley Blackwell, vol. 69(3), pages 647-66, July.
- Jinyong Hahn & Whitney Newey, 2004.
"Jackknife and Analytical Bias Reduction for Nonlinear Panel Models,"
Econometric Society, vol. 72(4), pages 1295-1319, 07.
- Jinyong Hahn & Whitney Newey, 2003. "Jackknife and analytical bias reduction for nonlinear panel models," CeMMAP working papers CWP17/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- N. Sartori, 2003. "Modified profile likelihoods in models with stratum nuisance parameters," Biometrika, Biometrika Trust, vol. 90(3), pages 533-549, September.
- Carro, Jesus M., 2007. "Estimating dynamic panel data discrete choice models with fixed effects," Journal of Econometrics, Elsevier, vol. 140(2), pages 503-528, October.
- Chamberlain, Gary, 1980. "Analysis of Covariance with Qualitative Data," Review of Economic Studies, Wiley Blackwell, vol. 47(1), pages 225-38, January.
- Bo E. Honoré & Ekaterini Kyriazidou, 2000. "Panel Data Discrete Choice Models with Lagged Dependent Variables," Econometrica, Econometric Society, vol. 68(4), pages 839-874, July.
- Newey, Whitney K, 1990. "Semiparametric Efficiency Bounds," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(2), pages 99-135, April-Jun.
- Manuel Arellano, 2003.
"Discrete choices with panel data,"
Fundación SEPI, vol. 27(3), pages 423-458, September.
- Hahn, Jinyong, 2001. "The Information Bound Of A Dynamic Panel Logit Model With Fixed Effects," Econometric Theory, Cambridge University Press, vol. 17(05), pages 913-932, October.
- Ivan Fernandez-Val, 2005. "Estimation of Structural Parameters and Marginal Effects in Binary Choice Panel Data Models with Fixed Effects," Boston University - Department of Economics - Working Papers Series WP2005-38, Boston University - Department of Economics.
When requesting a correction, please mention this item's handle: RePEc:cmf:wpaper:wp2005_0507. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Araceli Requerey)
If references are entirely missing, you can add them using this form.