TIME-INVARIANT REGRESSOR IN NONLINEAR PANEL MODEL WITH FIXED EFFECTS

Jinyong Hahn and Juergen Meinecke ()

Econometric Theory, 2005, vol. 21, issue 2, 455-469

Abstract: This paper generalizes the intuition of Hausman and Taylor (1981, Econometrica 49, 1377–1398) and develops a method of dealing with a time-invariant regressor in nonlinear panel models with fixed effects. We illustrate the usefulness of our result by discussing the implication for some nonlinear models of social interactions.We are grateful to Dan Ackerberg and Jerry Hausman for helpful comments. The first author gratefully acknowledges financial support from NSF grant SES-0313651.

Date: 2005
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