Inference for Fixed Effects Estimators when Panels are Unbalanced

Daniel Czarnowske and Amrei Stammann

Papers from arXiv.org

Abstract: We derive the asymptotic properties of two-way fixed effects M-estimators with missing observations in an asymptotic framework in which the numbers of cross-sectional units and time periods grow jointly. We allow the selection process to be deterministic (conditional on the unobserved effects and initial conditions), stochastic, or mixed, and we impose only a conditional mean restriction. The uncorrected estimators are asymptotically normal but not centered at zero, suffering from incidental parameter and feedback biases. Feedback bias can be induced by predetermined regressors in the outcome equation and by a predetermined selection process. We propose debiased estimators that handle both sources without requiring knowledge of which regressors or selection components are predetermined.

Date: 2026-07
References: Add references at CitEc
Citations:

Downloads: (external link)
https://arxiv.org/pdf/2607.10246 Latest version (application/pdf)

Related works:
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:arx:papers:2607.10246

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().