Robust Priors In Nonlinear Panel Data Models
Many approaches to estimation of panel models are based on an average or integrated likelihood that assigns weights to different values of the individual effects. Fixed effects, random effects, and Bayesian approaches all fall in this category. We provide a characterization of the class of weights (or priors) that produce estimators that are firstorder unbiased. We show that such bias-reducing weights must depend on the data unless an orthogonal reparameterization or an essentially equivalent condition is available. Two intuitively appealing weighting schemes are discussed. We argue that asymptotically valid confidence intervals can be read from the posterior distribution of the common parameters when N and T grow at the same rate. Finally, we show that random effects estimators are not bias reducing in general and discuss important exceptions. Three examples and some Monte Carlo experiments illustrate the results.
|Date of creation:||Dec 2006|
|Contact details of provider:|| Postal: Casado del Alisal, 5, 28014 Madrid|
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.:
- Manuel Arellano & Stephen Bond, 1991.
"Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations,"
Review of Economic Studies,
Oxford University Press, vol. 58(2), pages 277-297.
- Tom Doan, "undated". "RATS program to replicate Arellano-Bond 1991 dynamic panel," Statistical Software Components RTZ00169, Boston College Department of Economics.
- Arellano, M., 2001.
"Discrete Choices with Panel Data,"
0101, Centro de Estudios Monetarios Y Financieros-.
- Bester, C. Alan & Hansen, Christian, 2009. "A Penalty Function Approach to Bias Reduction in Nonlinear Panel Models with Fixed Effects," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 131-148.
- Philippe Robert-Demontrond & R. Ringoot, 2004. "Introduction," Post-Print halshs-00081823, HAL.
- Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984.
"Pseudo Maximum Likelihood Methods: Applications to Poisson Models,"
Econometric Society, vol. 52(3), pages 701-720, May.
- Gourieroux Christian & Monfort Alain & Trognon A, 1982. "Pseudo maximum lilelihood methods : applications to poisson models," CEPREMAP Working Papers (Couverture Orange) 8203, CEPREMAP.
- Tony Lancaster, 2002. "Orthogonal Parameters and Panel Data," Review of Economic Studies, Oxford University Press, vol. 69(3), pages 647-666.
- 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.
- Manuel Arellano & Jinyong Hahn, 2005. "Understanding Bias In Nonlinear Panel Models: Some Recent Developments," Working Papers wp2005_0507, CEMFI.
- Laura Hospido, 2007.
"Modelling Heterogeneity And Dynamics In The Volatility Of Individual Wages,"
- L. Hospido, 2012. "Modelling heterogeneity and dynamics in the volatility of individual wages," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(3), pages 386-414, 04.
- Laura Hospido, 2007. "Modelling heterogeneity and dynamics in the volatility of individual wages," Working Papers 0738, Banco de España;Working Papers Homepage.
- Hospido, Laura, 2010. "Modelling Heterogeneity and Dynamics in the Volatility of Individual Wages," IZA Discussion Papers 4712, Institute for the Study of Labor (IZA).
- 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.
- Chamberlain, Gary, 1984. "Panel data," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 22, pages 1247-1318 Elsevier.
- 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.
- L. Wasserman, 2000. "Asymptotic inference for mixture models by using data-dependent priors," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(1), pages 159-180.
- Gary Chamberlain, 1980. "Analysis of Covariance with Qualitative Data," Review of Economic Studies, Oxford University Press, vol. 47(1), pages 225-238.
- Javier Alvarez & Manuel Arellano, 2004. "Robust Likelihood Estimation Of Dynamic Panel Data Models," Working Papers wp2004_0421, CEMFI.
- Lancaster, Tony, 2000. "The incidental parameter problem since 1948," Journal of Econometrics, Elsevier, vol. 95(2), pages 391-413, April.
- Hahn, Jinyong, 2004. "Does Jeffrey's prior alleviate the incidental parameter problem?," Economics Letters, Elsevier, vol. 82(1), pages 135-138, January.
- Bekker, Paul A, 1994. "Alternative Approximations to the Distributions of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 62(3), pages 657-681, May.
- Hahn, Jinyong & Kuersteiner, Guido & Cho, Myeong Hyeon, 2004. "Asymptotic distribution of misspecified random effects estimator for a dynamic panel model with fixed effects when both n and T are large," Economics Letters, Elsevier, vol. 84(1), pages 117-125, July.
- L. Randall Wray & Stephanie Bell, 2004. "Introduction," Chapters, in: Credit and State Theories of Money, chapter 1 Edward Elgar Publishing.
- Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
- Gary Chamberlain & Guido Imbens, 2004. "Random Effects Estimators with many Instrumental Variables," Econometrica, Econometric Society, vol. 72(1), pages 295-306, 01.
- Tiemen Woutersen, 2002. "Robustness against Incidental Parameters," UWO Department of Economics Working Papers 20028, University of Western Ontario, Department of Economics.
When requesting a correction, please mention this item's handle: RePEc:cmf:wpaper:wp2006_0614. 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.