Individual and time effects in nonlinear panel models with large N, T

被引：176

作者：

Fernandez-Val, Ivan ^{[1
]}

Weidner, Martin ^{[2
,3
]}

机构：

[1] Boston Univ, Dept Econ, 270 Bay State Rd, Boston, MA 02215 USA

[2] UCL, Dept Econ, Gower St, London WC1E 6BT, England

[3] Inst Fiscal Studies, Ctr Microdata Methods & Practice, 7 Ridgmount St, London WC1E 7AE, England

来源：

JOURNAL OF ECONOMETRICS | 2016年 / 192卷 / 01期

基金：

美国国家科学基金会; 英国经济与社会研究理事会;

关键词：

Panel data; Nonlinear model; Dynamic model; Asymptotic bias correction; Fixed effects; Time effects; DISCRETE-CHOICE MODELS; LINEAR-REGRESSION; DATA ESTIMATORS; BIAS REDUCTION; INFERENCE; PARAMETERS; ASYMPTOTICS;

D O I：

10.1016/j.jeconom.2015.12.014

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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, (C) 2016 The Authors. Published by Elsevier B.V.

引用

页码：291 / 312

页数：22