Ivan Fernandez-Val, Martin Weidner
arXiv 27 Nov 2013 · Statistics — Methodology · publishedJournal of Econometrics (2016) · 312 citations (OpenAlex)
arXiv:1311.7065 · PDF · DOI · OpenAlex · Extracted main text
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.
appendix boundary found by appendix_titled_section at “Proofs of Appendix~\ref{app:expansion} (Asymptotic Expansions)” · 60% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Hahn, J. and Newey, W (2004) Jackknife and analytical bias reduction for nonlinear panel models | 1.000 | 6 | 5 | 100% |
| 2 | Hahn, J. and Kuersteiner, G (2011) Bias reduction for dynamic nonlinear panel models with fixed effects | 1.000 | 6 | 3 | 100% |
| 3 | Dhaene, G. and Jochmans, K (2015) Split-panel jackknife estimation of fixed-effect models | 0.928 | 4 | 3 | 100% |
| 4 | Aghion, P., Bloom, N., Blundell, R., Griffith, R., and Howitt, P (2005) Competition and innovation: an inverted-U relationship | 0.843 | 3 | 3 | 100% |
| 5 | Fernández-Val, I (2009) Fixed effects estimation of structural parameters and marginal effects in panel probit models | 0.843 | 3 | 3 | 100% |
| 6 | Neyman, J. and Scott, E (1948) Consistent estimates based on partially consistent observations | 0.811 | 4 | 2 | 100% |
| 7 | Arellano, M. and Hahn, J (2007) Understanding Bias in Nonlinear Panel Models: Some Recent Developments | 0.644 | 2 | 2 | 100% |
| Hahn and Kuersteiner | unmatched citation key Hahn and Kuersteiner | 0.585 | 3 | 1 | 100% |
| Charbonneau | unmatched citation key Charbonneau | 0.511 | 2 | 1 | 100% |
| Lancaster | unmatched citation key Lancaster | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 82 scored citations. 3 of these could not be matched to a bibliography entry, so only the citation key is shown.
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