Deriving the Information Bounds for Nonlinear Panel Data Models with Fixed Effects
This paper studies the asymptotic efficiency of estimates in nonlinear panel data models with fixed effects when both the cross-sectional sample size and the length of time series tend to infinity. The efficiency bounds for regular estimators are derived using the infinite-dimensional convolution theorem by van der Varrt and Wellner (1996). It should be noted that the number of fixed effects increases with the sample size, so they constitute an infinite-dimensional nuisance parameter. The presence of fixed effects makes our derivation of the efficiency bounds non-trivial, and the techniques to overcome the difficulties caused by fixed effects will be discussed in detail. Our results include the efficiency bounds for models containing unknown functions (for instance, a distribution function of error terms). We apply our results to show that the bias-corrected fixed effects estimator of Hahn and Newey (2004) is asymptotically efficient.
|Date of creation:||Jan 2014|
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- Hahn, Jinyong, 2002. "Optimal Inference With Many Instruments," Econometric Theory, Cambridge University Press, vol. 18(01), pages 140-168, February.
- Jinyong Hahn & Guido Kuersteiner, 2002. "Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both "n" and "T" Are Large," Econometrica, Econometric Society, vol. 70(4), pages 1639-1657, July.
- Peter C.B. Phillips & Hyungsik R. Moon, 1999.
"Linear Regression Limit Theory for Nonstationary Panel Data,"
Cowles Foundation Discussion Papers
1222, Cowles Foundation for Research in Economics, Yale University.
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- Jinyong Hahn & Whitney Newey, 2004.
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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.
- Tiemen Woutersen, 2002. "Robustness against Incidental Parameters," UWO Department of Economics Working Papers 20028, University of Western Ontario, Department of Economics.
- Koenker, Roger, 2004. "Quantile regression for longitudinal data," Journal of Multivariate Analysis, Elsevier, vol. 91(1), pages 74-89, October.
- 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.
- Ivan A. Canay, 2011. "A simple approach to quantile regression for panel data," Econometrics Journal, Royal Economic Society, vol. 14(3), pages 368-386, October.
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