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Bias corrections for two-step fixed effects panel data estimators

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  • Ivan Fernandez-Val

    (Institute for Fiscal Studies and Boston University)

  • Francis Vella

    () (Institute for Fiscal Studies and Georgetown University)

Abstract

This paper introduces bias-corrected estimators for nonlinear panel data models with both time invariant and time varying heterogeneity. These include limited dependent variable models with both unobserved individual effects and endogenous explanatory variables, and sample selection models with unobserved individual effects.

Suggested Citation

  • Ivan Fernandez-Val & Francis Vella, 2007. "Bias corrections for two-step fixed effects panel data estimators," CeMMAP working papers CWP04/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    • Handle: RePEc:ifs:cemmap:04/07
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    File URL: http://cemmap.ifs.org.uk/wps/cwp0704.pdf
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    Cited by:

    1. Fernández-Val, Iván & Weidner, Martin, 2016. "Individual and time effects in nonlinear panel models with large N, T," Journal of Econometrics, Elsevier, vol. 192(1), pages 291-312.
    2. Alderighi, Marco & Gaggero, Alberto A. & Piga, Claudio A., 2015. "The effect of code-share agreements on the temporal profile of airline fares," Transportation Research Part A: Policy and Practice, Elsevier, vol. 79(C), pages 42-54.
    3. Elizabeth Schroeder, 2016. "Dynamic labor supply adjustment with bias correction," Empirical Economics, Springer, vol. 51(4), pages 1623-1640, December.
    4. Beckmann, Michael & Cornelissen, Thomas & Kräkel, Matthias, 2017. "Self-managed working time and employee effort: Theory and evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 133(C), pages 285-302.
    5. Chrysanthou, Georgios Marios, 2008. "Estimating union wage effects in Great Britain during 1991-2003," UC3M Working papers. Economics we082214, Universidad Carlos III de Madrid. Departamento de Economía.
    6. Geert Dhaene & Koen Jochmans, 2015. "Split-panel Jackknife Estimation of Fixed-effect Models," Review of Economic Studies, Oxford University Press, vol. 82(3), pages 991-1030.
    7. Michael J. Hicks & Michael LaFaive & Srikant Devaraj, 2016. "New Evidence on the Effect of Right-to-Work Laws on Productivity and Population Growth," Cato Journal, Cato Journal, Cato Institute, vol. 36(1), pages 101-120, Winter.
    8. Michael Beckmann & Thomas Cornelissen, 2014. "Self-Managed Working Time and Employee Effort: Microeconometric Evidence," SOEPpapers on Multidisciplinary Panel Data Research 636, DIW Berlin, The German Socio-Economic Panel (SOEP).
    9. Harrison Fell & Daniel T. Kaffine, 2014. "A one-two punch: Joint effects of natural gas abundance and renewables on coal-fired power plants," Working Papers 2014-10, Colorado School of Mines, Division of Economics and Business.
    10. Jochmans, Koen, 2015. "Multiplicative-error models with sample selection," Journal of Econometrics, Elsevier, vol. 184(2), pages 315-327.
    11. Aysen Isaoglu, 2010. "Worker Reallocation across Occupations in Western Germany," SOEPpapers on Multidisciplinary Panel Data Research 319, DIW Berlin, The German Socio-Economic Panel (SOEP).
    12. Chrysanthou, Georgios Marios, 2014. "Heterogeneity, Endogeneity, Measurement Error and Identification of the Union Wage Impact," QM&ET Working Papers 14-4, University of Alicante, D. Quantitative Methods and Economic Theory, revised 05 Nov 2014.
    13. Ramon Cobo-Reyes & Gabriel Katz & Simone Meraglia?, 2017. "Endogenous Sanctioning Institutions and Migration Patterns: Experimental Evidence," Discussion Papers 1702, Exeter University, Department of Economics.
    14. Panutat Satchachai & Peter Schmidt, 2010. "Estimates of technical inefficiency in stochastic frontier models with panel data: generalized panel jackknife estimation," Journal of Productivity Analysis, Springer, vol. 34(2), pages 83-97, October.
    15. Mingli Chen & Ivan Fernandez-Val & Martin Weidner, 2014. "Nonlinear Panel Models with Interactive Effects," Papers 1412.5647, arXiv.org.
    16. repec:aea:aejpol:v:10:y:2018:i:2:p:90-116 is not listed on IDEAS
    17. Almer, Christian & Laurent-Lucchetti, Jérémy & oechslin, Manuel, 2011. "Income shocks and social unrest: theory and evidence," MPRA Paper 34426, University Library of Munich, Germany.
    18. Kufenko, Vadmin & Prettner, Klaus, 2017. "You can't always get what you want? A Monte Carlo analysis of the bias and the efficiency of dynamic panel data estimators," ECON WPS - Vienna University of Technology Working Papers in Economic Theory and Policy 07/2017, Vienna University of Technology, Institute for Mathematical Methods in Economics, Research Group Economics (ECON).
    19. Christian Almer & Stefan Boes, 2012. "Climate (change) and conflict: resolving a puzzle of association and causation," Diskussionsschriften dp1203, Universitaet Bern, Departement Volkswirtschaft.

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    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • J31 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Wage Level and Structure; Wage Differentials
    • J51 - Labor and Demographic Economics - - Labor-Management Relations, Trade Unions, and Collective Bargaining - - - Trade Unions: Objectives, Structure, and Effects

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