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Bias corrections for two-step fixed effects panel data estimators

  • Ivan Fernandez-Val

    (Institute for Fiscal Studies and University of Boston)

  • Frank Vella

    ()

    (Institute for Fiscal Studies and Georgetown University)

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.

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File URL: http://cemmap.ifs.org.uk/wps/cwp0704.pdf
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Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP04/07.

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Date of creation: Feb 2007
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Handle: RePEc:ifs:cemmap:04/07
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