期刊
JOURNAL OF ECONOMETRICS
卷 192, 期 1, 页码 291-312出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2015.12.014
关键词
Panel data; Nonlinear model; Dynamic model; Asymptotic bias correction; Fixed effects; Time effects
资金
- National Science Foundation [SES-1060889]
- Economic and Social Research Council through the ESRC Centre for Microdata Methods and Practice [RES-589-28-0001]
- Economic and Social Research Council [ES/M010147/1] Funding Source: researchfish
- ESRC [ES/M010147/1] Funding Source: UKRI
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.
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