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

DOI10.1016/j.jeconom.2015.12.014zbMath1419.62504arXiv1311.7065OpenAlexW2107623639MaRDI QIDQ5964762

Iván Fernández-Val, Martin Weidner

Publication date: 1 March 2016

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

Full work available at URL: https://arxiv.org/abs/1311.7065

zbMATH Keywords

nonlinear modelfixed effectsdynamic modelpanel dataasymptotic bias correctiontime effects

Mathematics Subject Classification ID

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

Related Items

Testing for heteroskedasticity in two-way fixed effects panel data models ⋮ Voting on sanctioning institutions in open and closed communities: experimental evidence ⋮ Bias in instrumental-variable estimators of fixed-effect models for count data ⋮ Lessons From Quantile Panel Estimation of the Environmental Kuznets Curve ⋮ Half-panel jackknife estimation for dynamic panel models ⋮ Identification and estimation in panel models with overspecified number of groups ⋮ A James-Stein-type adjustment to bias correction in fixed effects panel models ⋮ An incidental parameters free inference approach for panels with common shocks ⋮ Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions ⋮ Strong mixing properties of discrete-valued time series with exogenous covariates ⋮ Linear fixed-effects estimation with nonrepeated outcomes ⋮ On the unbiased asymptotic normality of quantile regression with fixed effects ⋮ Linear panel regressions with two-way unobserved heterogeneity ⋮ Machine learning panel data regressions with heavy-tailed dependent data: theory and application ⋮ 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 ⋮ Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares ⋮ Interest rate liberalization and bank efficiency: a DEA analysis of Chinese commercial banks ⋮ Asymptotic theory in network models with covariates and a growing number of node parameters ⋮ A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data ⋮ Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity ⋮ Network and panel quantile effects via distribution regression ⋮ The persistence of wages ⋮ The robustness of conditional logit for binary response panel data models with serial correlation ⋮ Editorial: Celebrating 40 years of panel data analysis: past, present and future ⋮ Nonlinear factor models for network and panel data ⋮ On the robustness of the pooled CCE estimator ⋮ Correlated random effects models with unbalanced panels ⋮ Integrated likelihood based inference for nonlinear panel data models with unobserved effects ⋮ Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity ⋮ Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity ⋮ Bias reduction in nonlinear and dynamic panels in the presence of cross-section dependence ⋮ Statistical Inference in a Directed Network Model With Covariates ⋮ Unified inference for nonlinear factor models from panels with fixed and large time span ⋮ Quantiles via moments

Uses Software

• Speedglm

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Fixed effects estimation of structural parameters and marginal effects in panel probit models
• Estimating dynamic panel data discrete choice models with fixed effects
• Asymptotics for panel quantile regression models with individual effects
• Bias corrections for two-step fixed effects panel data estimators
• The incidental parameter problem since 1948
• Average and Quantile Effects in Nonseparable Panel Models
• BIAS REDUCTION FOR DYNAMIC NONLINEAR PANEL MODELS WITH FIXED EFFECTS
• The behaviour of the maximum likelihood estimator of limited dependent variable models in the presence of fixed effects
• Bounds on Parameters in Panel Dynamic Discrete Choice Models
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Robust Priors in Nonlinear Panel Data Models
• Concavity of the Log Likelihood
• Note on the Uniqueness of the Maximum Likelihood Estimator for the Tobit Model
• Linear Regression Limit Theory for Nonstationary Panel Data
• Split-panel Jackknife Estimation of Fixed-effect Models
• Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects
• Panel data models with nonadditive unobserved heterogeneity: Estimation and inference
• Orthogonal Parameters and Panel Data
• Binary Response Models for Panel Data: Identification and Information
• Panel Data Models With Interactive Fixed Effects
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Estimation of a Censored Dynamic Panel Data Model
• Consistent Estimates Based on Partially Consistent Observations

This page was built for publication: Individual and time effects in nonlinear panel models with large \(N\), \(T\)