arXiv 31 Jan 2023 · Econometrics · publishedSERIEs (2023) · 1 citations (OpenAlex)
arXiv:2301.13736 · PDF · DOI · OpenAlex · Extracted main text
Inference on common parameters in panel data models with individual-specific fixed effects is a classic example of Neyman and Scott's (1948) incidental parameter problem (IPP). One solution to this IPP is functional differencing (Bonhomme 2012), which works when the number of time periods T is fixed (and may be small), but this solution is not applicable to all panel data models of interest. Another solution, which applies to a larger class of models, is "large-T" bias correction (pioneered by Hahn and Kuersteiner 2002 and Hahn and Newey 2004), but this is only guaranteed to work well when T is sufficiently large. This paper provides a unified approach that connects those two seemingly disparate solutions to the IPP. In doing so, we provide an approximate version of functional differencing, that is, an approximate solution to the IPP that is applicable to a large class of panel data models even when T is relatively small.
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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 | Bonhomme, S (2012) Functional differencing | 1.000 | 12 | 6 | 100% |
| 2 | Neyman, J. and E. L. Scott (1948) Consistent estimates based on partially consistent observations | 0.928 | 4 | 3 | 100% |
| 3 | Dhaene, G. and K. Jochmans (2015) Split-panel Jackknife Estimation of Fixed-effect Models self | 0.843 | 3 | 3 | 100% |
| 4 | Hahn, J. and W. Newey (2004) Jackknife and analytical bias reduction for nonlinear panel models | 0.843 | 3 | 3 | 100% |
| 5 | Honoré, B. E. and M. Weidner (2020) Moment conditions for dynamic panel logit models with fixed effects | 0.811 | 4 | 2 | 100% |
| 6 | Rasch, G (1960) Studies in mathematical psychology: I. Probabilistic models for some intelligence and attainment tests | 0.737 | 3 | 2 | 100% |
| 7 | Arellano, M. and S. Bonhomme (2009) Robust priors in nonlinear panel data models | 0.644 | 2 | 2 | 100% |
| 8 | Honoré, B. E (1992) Trimmed LAD and least squares estimation of truncated and censored regression models with fixed effects | 0.644 | 2 | 2 | 100% |
| 9 | Honoré, B. E. and E. T. Tamer (2006) Bounds on parameters in panel dynamic discrete choice models | 0.644 | 2 | 2 | 100% |
| 10 | Hu, L (2002) Estimation of a censored dynamic panel data model | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 84 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Approximate Operator Inversion for Average Effects in Nonlinear Panel Models | 0.909 | 8 | 4 |
| 2 | Functional Differencing in Networks | 0.644 | 2 | 2 |
| 3 | Bootstrap Inference in Nonlinear Panel Data Models with Interactive Fixed Effects | 0.405 | 1 | 1 |