Second-order corrected likelihood for nonlinear panel models with fixed effects

DOI10.1016/J.JECONOM.2020.04.001zbMATH Open1464.62500OpenAlexW3123883618MaRDI QIDQ2224973FDOQ2224973

Authors: Geert Dhaene, Yutao Sun 

Publication date: 4 February 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://lirias.kuleuven.be/handle/123456789/649221

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zbMATH Keywords

fixed effectsbias correctionincidental parameter problemnonlinear panel data models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

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Cited In (4)

• First and second order asymptotic bias correction of nonlinear estimators in a non-parametric setting and an application to the smoothed maximum score estimator
• A James-Stein-type adjustment to bias correction in fixed effects panel models
• The role of score and information bias in panel data likelihoods
• SECOND-ORDER BIAS REDUCTION FOR NONLINEAR PANEL DATA MODELS WITH FIXED EFFECTS BASED ON EXPECTED QUANTITIES

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