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Individual and Time Effects in Nonlinear Panel Models with Large N, T

Ivan Fernandez-Val () and Martin Weidner

Papers from arXiv.org

Abstract: We derive fixed effects estimators of parameters and average partial effects in (possibly dynamic) nonlinear panel data models with individual and time effects. They cover logit, probit, ordered probit, Poisson and Tobit models that are important for many empirical applications in micro and macroeconomics. Our estimators use analytical and jackknife bias corrections to deal with the incidental parameter problem, and are asymptotically unbiased under asymptotic sequences where $N/T$ converges to a constant. We develop inference methods and show that they perform well in numerical examples.

Date: 2013-11, Revised 2018-12
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Published in Journal of Econometrics, Volume 192, Issue 1, May 2016, Pages 291-312

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http://arxiv.org/pdf/1311.7065 Latest version (application/pdf)

Related works:
Journal Article: Individual and time effects in nonlinear panel models with large N, T (2016) Downloads
Working Paper: Individual and time effects in nonlinear panel models with large N, T (2015) Downloads
Working Paper: Individual and time effects in nonlinear panel models with large N, T (2014) Downloads
Working Paper: Individual and time effects in nonlinear panel models with large N, T (2013) Downloads
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