Panel Data, Local Cuts, and Orthogeodesic Models

Bent Jesper Christensen and Nicholas Kiefer ()

No 1108, Econometric Society World Congress 2000 Contributed Papers from Econometric Society

Abstract: Orthogeodesic models admit marginal local cuts and therefore separate inference on subparameters is asymptotically justified. Doubly-flat orthogeodesic models admit local cuts marginally and conditionally. Two important empirical models for panel data are used to illustrate this property and demonstrate its usefulness. The relation to local ancillarity and local sufficiency is explored. An alternative characterization of local cuts in terms of curvature is given and shown to be intrinsic. Applications to semiparametric estimation are considered.

Date: 2000-08-01
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Working Paper: Panel Data, Local Cuts, and Orthogeodesic Models (1997)
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