Fixed Effect Estimation of Large T Panel Data Models
Iv\'an Fern\'andez-Val and
Martin Weidner
Papers from arXiv.org
Abstract:
This article reviews recent advances in fixed effect estimation of panel data models for long panels, where the number of time periods is relatively large. We focus on semiparametric models with unobserved individual and time effects, where the distribution of the outcome variable conditional on covariates and unobserved effects is specified parametrically, while the distribution of the unobserved effects is left unrestricted. Compared to existing reviews on long panels (Arellano and Hahn 2007; a section in Arellano and Bonhomme 2011) we discuss models with both individual and time effects, split-panel Jackknife bias corrections, unbalanced panels, distribution and quantile effects, and other extensions. Understanding and correcting the incidental parameter bias caused by the estimation of many fixed effects is our main focus, and the unifying theme is that the order of this bias is given by the simple formula p/n for all models discussed, with p the number of estimated parameters and n the total sample size.
Date: 2017-09, Revised 2018-03
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http://arxiv.org/pdf/1709.08980 Latest version (application/pdf)
Related works:
Journal Article: Fixed Effects Estimation of Large-TPanel Data Models (2018)
Working Paper: Fixed effect estimation of large T panel data models (2018)
Working Paper: Fixed effect estimation of large T panel data models (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1709.08980
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