Panel data models with nonadditive unobserved heterogeneity: estimation and inference

DOI10.3982/QE75MaRDI QIDQ4645405zbMATH OpenOpenAlexFDO

Authors Iván Fernández-Val, Joonhwah Lee

Publication date 10 January 2019

Published in Quantitative Economics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1206.2966

zbMATH Keywords

momentsfixed effectspanel databiasinstrumental variablesGMMvariancesincidental parameter problemcigarette demandcorrelated random-coefficient model

Mathematics Subject Classification ID

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

Abstract: This paper considers fixed effects estimation and inference in linear and nonlinear panel data models with random coefficients and endogenous regressors. The quantities of interest -- means, variances, and other moments of the random coefficients -- are estimated by cross sectional sample moments of GMM estimators applied separately to the time series of each individual. To deal with the incidental parameter problem introduced by the noise of the within-individual estimators in short panels, we develop bias corrections. These corrections are based on higher-order asymptotic expansions of the GMM estimators and produce improved point and interval estimates in moderately long panels. Under asymptotic sequences where the cross sectional and time series dimensions of the panel pass to infinity at the same rate, the uncorrected estimator has an asymptotic bias of the same order as the asymptotic variance. The bias corrections remove the bias without increasing variance. An empirical example on cigarette demand based on Becker, Grossman and Murphy (1994) shows significant heterogeneity in the price effect across U.S. states.

Recommendations

• scientific article; zbMATH DE number 5245028
• Bias corrections for two-step fixed effects panel data estimators
• Individual and time effects in nonlinear panel models with large \(N\), \(T\)
• Jackknife and analytical bias reduction for nonlinear panel models.
• Bias reduction for dynamic nonlinear panel models with fixed effects

Cited in

(16)

• Estimating panel models with internal and external habit formation
• Unified inference for nonlinear factor models from panels with fixed and large time span
• Smoothed quantile regression for panel data
• Using panel data to examine racial and gender differences in debt burdens
• The incidental parameter problem in a non-differentiable panel data model
• A Dynamic Model for Binary Panel Data With Unobserved Heterogeneity Admitting a √n-Consistent Conditional Estimator
• An alternative identification of nonlinear dynamic panel data models with unobserved covariates
• Inference on heterogeneous treatment effects in high‐dimensional dynamic panels under weak dependence
• First-differencing in panel data models with incidental functions
• Heterogeneity in consumer demands and the income effect: evidence from panel data
• On the unbiased asymptotic normality of quantile regression with fixed effects
• Panel data analysis with heterogeneous dynamics
• scientific article; zbMATH DE number 7829051 (Why is no real title available?)
• Inference on a distribution from noisy draws
• Individual and time effects in nonlinear panel models with large \(N\), \(T\)
• Identification of a nonparametric panel data model with unobserved heterogeneity and lagged dependent variables

This page was built for publication: Panel data models with nonadditive unobserved heterogeneity: estimation and inference

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4645405)