EconPapers    
Economics at your fingertips  
 

A likelihood-Based Approximate Solution to the Incidental Parameter Problem in Dynamic Nonlinear Models with Multiple Effects

Manuel Arellano and Jinyong Hahn

Global Economic Review, 2016, vol. 45, issue 3, 251-274

Abstract: We discuss a modified objective function strategy to obtain estimators without bias to order 1/T in nonlinear dynamic panel models with multiple effects. Estimation proceeds from a bias-corrected objective function relative to some target infeasible criterion. We consider a determinant-based approach for likelihood settings, and a trace-based approach, which is not restricted to the likelihood setup. Both approaches depend exclusively on the Hessian and the outer product of the scores of the fixed effects. They produce simple and transparent corrections even in models with multiple effects. We analyze the asymptotic properties of both types of estimators when n and T grow at the same rate, and show that they are asymptotically normal and centered at the truth. Our strategy is to develop a theory for general bias-corrected estimating equations, so that we can obtain asymptotic results for a specific bias correction method using the first-order conditions.

Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (28)

Downloads: (external link)
http://hdl.handle.net/10.1080/1226508X.2016.1211811 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: A Likelihood-Based Approximate Solution to the Incidental Parameter Problem in Dynamic Nonlinear Models with Multiple Effects (2006) Downloads
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:taf:glecrv:v:45:y:2016:i:3:p:251-274

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RGER20

DOI: 10.1080/1226508X.2016.1211811

Access Statistics for this article

Global Economic Review is currently edited by Kap-Young Jeong and Taeyoon Sung

More articles in Global Economic Review from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2025-03-22
Handle: RePEc:taf:glecrv:v:45:y:2016:i:3:p:251-274