UNDERSTANDING BIAS IN NONLINEAR PANEL MODELS: SOME RECENT DEVELOPMENTS

Manuel Arellano () and Jinyong Hahn ()
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Jinyong Hahn: CEMFI, Centro de Estudios Monetarios y Financieros

Working Papers from CEMFI

Abstract: The purpose of this paper is to review recently development methods of estimation of nonlinear fixed effects panel data models with reduced bias properties. We begin by describing fixed effects estimators and the incidental parameters problem. Next the explain how to construct analytical bias correction of estimators, followed by bias correction of estimators, followed by bias correction of the moment equation, and bias corrections for the concentrated likelihood. We then turn to discuss other approaches leading to bias correction based on orthogonalization and their extensions. The remaining sections consider quasi maximum likelihood estimation for dynamic models, the estimation of marginal effects, and automatic methods based on simulation.

Keywords: Asymptotic corrections; bias reduction; fixed effects; modifies likelihood; nonlinear models; panel data; simulation methods. (search for similar items in EconPapers)
JEL-codes: C23 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-eff and nep-ets
Date: 2005-10
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Persistent link: http://EconPapers.repec.org/RePEc:cmf:wpaper:wp2005_0507

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