BIAS REDUCTION FOR DYNAMIC NONLINEAR PANEL MODELS WITH FIXED EFFECTS

Jinyong Hahn and Guido Kuersteiner

Econometric Theory, 2011, vol. 27, issue 6, 1152-1191

Abstract: The fixed effects estimator of panel models can be severely biased because of well-known incidental parameter problems. It is shown that this bias can be reduced in nonlinear dynamic panel models. We consider asymptotics where n and T grow at the same rate as an approximation that facilitates comparison of bias properties. Under these asymptotics, the bias-corrected estimators we propose are centered at the truth, whereas fixed effects estimators are not. We discuss several examples and provide Monte Carlo evidence for the small sample performance of our procedure.

Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (153)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:27:y:2011:i:06:p:1152-1191_00

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().