Estimation and inference in dynamic nonlinear fixed effects panel data models by projection

Andrew Adrian Pua ()

No 2019-07-09, Working Papers from Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

Abstract: I develop a bias reduction method for the estimators of structural parameters of a panel data model (whether linear or nonlinear) using a projection argument. A corrected score is calculated by projecting the score vector for the structural parameters onto the orthogonal complement of a space characterized by incidental parameter fluctuations.

Date: 2019-07-09
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Persistent link: https://EconPapers.repec.org/RePEc:wyi:wpaper:002485

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