arXiv 21 Mar 2022 · Econometrics
arXiv:2203.10683 · PDF · DOI · OpenAlex · Extracted main text
Fixed effect estimators of nonlinear panel data models suffer from the incidental parameter problem. This leads to two undesirable consequences in applied research: (1) point estimates are subject to large biases, and (2) confidence intervals have incorrect coverages. This paper proposes a simulation-based method for bias reduction. The method simulates data using the model with estimated individual effects, and finds values of parameters by equating fixed effect estimates obtained from observed and simulated data. The asymptotic framework provides consistency, bias correction, and asymptotic normality results. An application and simulations to female labor force participation illustrates the finite-sample performance of the method.
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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 | Dhaene, G. and K. Jochmans (2015) Split–Panel Jackknife Estimation of Fixed-effect Models | 0.956 | 8 | 5 | 88% |
| 2 | Hahn, J. and W. Newey (2004) Jackknife and Analytical Bias Reduction for Nonlinear Panel Models | 0.956 | 8 | 4 | 88% |
| 3 | Fernández-Val, I (2009) Fixed Effects Estimation of Structural Parameters and Marginal Effects in Panel Probit Models | 0.941 | 6 | 5 | 83% |
| 4 | Gouriéroux, C., A. Monfort, and E. Renault (1993) Indirect Inference | 0.920 | 9 | 3 | 78% |
| 5 | Collard-Wexler, A (2013) Demand Fluctuations in the Ready-Mix Concrete Industry | 0.843 | 3 | 3 | 100% |
| 6 | Andrews, D. W (1994) Empirical Process Methods in Econometrics, in | 0.822 | 9 | 4 | 56% |
| 7 | Newey, W. K. and D. McFadden (1994) Large Sample Estimation and Hypothesis Testing, in | 0.811 | 4 | 2 | 100% |
| 8 | Hahn, J. and G. Kuersteiner (2011) Bias Reduction for Dynamic Nonlinear Panel Models with Fixed Effects | 0.794 | 14 | 5 | 50% |
| 9 | Newey, W. K (1991) Uniform Convergence in Probability and Stochastic Equicontinuity | 0.737 | 4 | 3 | 50% |
| 10 | van der Vaart, A. W. and J. A. Wellner (1996) Weak Convergence and Empirical Processes: With Applications to Statistics | 0.737 | 3 | 3 | 67% |
Showing the top 10 of 55 scored citations.