Split-panel Jackknife Estimation of Fixed-effect Models

被引:195
作者
Dhaene, Geert [1 ]
Jochmans, Koen [2 ]
机构
[1] Univ Leuven, Dept Econ, Leuven, Belgium
[2] Sci Po, Dept Econ, Paris, France
关键词
Bias reduction; Dependent data; Incidental-parameter problem; Jackknife; Nonlinear model; DISCRETE-CHOICE MODELS; FOREIGN DIRECT-INVESTMENT; TIME-SERIES; UNOBSERVED HETEROGENEITY; BIAS REDUCTION; PROBIT MODELS; PARAMETERS; INFERENCE; INFORMATION; ASYMPTOTICS;
D O I
10.1093/restud/rdv007
中图分类号
F [经济];
学科分类号
02 ;
摘要
Maximum-likelihood estimation of nonlinear models with fixed effects is subject to the incidental-parameter problem. This typically implies that point estimates suffer from large bias and confidence intervals have poor coverage. This article presents a jackknife method to reduce this bias and to obtain confidence intervals that are correctly centred under rectangular-array asymptotics. The method is explicitly designed to handle dynamics in the data, and yields estimators that are straightforward to implement and can be readily applied to a range of models and estimands. We provide distribution theory for estimators of model parameters and average effects, present validity tests for the jackknife, and consider extensions to higher-order bias correction and to two-step estimation problems. An empirical illustration relating to female labour-force participation is also provided.
引用
收藏
页码:991 / 1030
页数:40
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