Individual and Time Effects in Nonlinear Panel Models with Large N, T
Ivan Fernandez-Val () and
Papers from arXiv.org
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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Published in Journal of Econometrics, Volume 192, Issue 1, May 2016, Pages 291-312
Downloads: (external link)
http://arxiv.org/pdf/1311.7065 Latest version (application/pdf)
Journal Article: Individual and time effects in nonlinear panel models with large N, T (2016)
Working Paper: Individual and time effects in nonlinear panel models with large N, T (2015)
Working Paper: Individual and time effects in nonlinear panel models with large N, T (2014)
Working Paper: Individual and time effects in nonlinear panel models with large N, T (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1311.7065
Access Statistics for this paper
More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().