arXiv 26 Jan 2022 · Econometrics · publishedEconometrica (2024) · 8 citations (OpenAlex)
arXiv:2201.11156 · PDF · DOI · OpenAlex · Extracted main text
The maximum-likelihood estimator of nonlinear panel data models with fixed effects is consistent but asymptotically-biased under rectangular-array asymptotics. The literature has thus far concentrated its effort on devising methods to correct the maximum-likelihood estimator for its bias as a means to salvage standard inferential procedures. Instead, we show that the parametric bootstrap replicates the distribution of the (uncorrected) maximum-likelihood estimator in large samples. This justifies the use of confidence sets constructed via standard bootstrap percentile methods. No adjustment for the presence of bias needs to be made.
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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 | Hahn, J. and G. Kuersteiner (2011) Bias reduction for dynamic nonlinear panel models with fixed effects | 0.874 | 6 | 5 | 67% |
| 2 | Kim, M. S. and Y. Sun (2016) Bootstrap and $k$-step bootstrap bias corrections for the fixed effects estimator in nonlinear panel data models | 0.830 | 7 | 3 | 57% |
| 3 | Hahn, J. and W. K. Newey (2004) Jackknife and analytical bias reduction for nonlinear panel models | 0.811 | 4 | 2 | 100% |
| 4 | Neyman, J. and E. L. Scott (1948) Consistent estimates based on partially consistent observations | 0.737 | 3 | 2 | 100% |
| 5 | Chamberlain, G (1984) Panel data | 0.644 | 2 | 2 | 100% |
| 6 | Dhaene, G. and K. Jochmans (2015) Split-panel jackknife estimation of fixed-effect models | 0.644 | 2 | 2 | 100% |
| 7 | Andrews, D. W. K (2005) Higher-order improvements of the parametric bootstrap for Markov processes | 0.511 | 4 | 2 | 25% |
| 8 | Arellano, M. and J. Hahn (2006) A likelihood-based approximate solution to the incidental parameter problem in dynamic nonlinear models with multiple effects | 0.405 | 1 | 1 | 100% |
| 9 | Arellano, M. and J. Hahn (2007) Understanding bias in nonlinear panel models: Some recent developments | 0.405 | 1 | 1 | 100% |
| 10 | Chamberlain, G (1980) Analysis of covariance with qualitative data | 0.405 | 1 | 1 | 100% |
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