Iván Fernández-Val, Martin Weidner
arXiv 26 Sep 2017 · Econometrics · publishedAnnual Review of Economics (2018) · 89 citations (OpenAlex)
arXiv:1709.08980 · PDF · DOI · OpenAlex · Extracted main text
This article reviews recent advances in fixed effect estimation of panel data models for long panels, where the number of time periods is relatively large. We focus on semiparametric models with unobserved individual and time effects, where the distribution of the outcome variable conditional on covariates and unobserved effects is specified parametrically, while the distribution of the unobserved effects is left unrestricted. Compared to existing reviews on long panels (Arellano and Hahn 2007; a section in Arellano and Bonhomme 2011) we discuss models with both individual and time effects, split-panel Jackknife bias corrections, unbalanced panels, distribution and quantile effects, and other extensions. Understanding and correcting the incidental parameter bias caused by the estimation of many fixed effects is our main focus, and the unifying theme is that the order of this bias is given by the simple formula p/n for all models discussed, with p the number of estimated parameters and n the total sample size.
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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 | Arellano M, Hahn J (2007) Understanding bias in nonlinear panel models: Some recent developments | 1.000 | 5 | 3 | 100% |
| 2 | Dhaene G, Jochmans K (2015) b | 1.000 | 5 | 3 | 100% |
| 3 | Fernández-Val I, Weidner M (2016) Individual and time effects in nonlinear panel models with large n, t | 0.843 | 10 | 2 | 90% |
| 4 | Neyman J, Scott E (1948) Consistent estimates based on partially consistent observations | 0.843 | 3 | 3 | 100% |
| 5 | Nickell SJ (1981) Biases in dynamic models with fixed effects | 0.843 | 3 | 3 | 100% |
| 6 | Hahn J, Kuersteiner G (2002) Asymptotically unbiased inference for a dynamic panel model with fixed effects when both n and T are large | 0.811 | 4 | 2 | 100% |
| 7 | Hahn J, Newey W (2004) Jackknife and analytical bias reduction for nonlinear panel models | 0.811 | 4 | 2 | 100% |
| 8 | Cruz-Gonzalez M, Fernandez-Val I, Weidner M (2017) Bias corrections for probit and logit models with two-way fixed effects | 0.811 | 4 | 2 | 100% |
| 9 | Fernández-Val I (2009) Fixed effects estimation of structural parameters and marginal effects in panel probit models | 0.737 | 3 | 2 | 100% |
| 10 | Hahn J, Kuersteiner G (2011) Bias reduction for dynamic nonlinear panel models with fixed effects | 0.737 | 3 | 2 | 100% |
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