Individual and time effects in nonlinear panel models with large N , T

Iván Fernández‐Val · Martin Weidner

319 citations0/0 files storedJournal of Econometrics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Spatial and Panel Data Analysis Statistical Methods and Bayesian Inference Advanced Causal Inference Techniques

Abstract

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.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 319 citations exist upstream.

References

1981Biases in Dynamic Models with Fixed Effects 2006Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure 2008Competition and Innovation: An Inverted U Relationship 2017Competition and innovation: an inverted U relationship 2009Panel Data Models With Interactive Fixed Effects 1999Linear Regression Limit Theory for Nonstationary Panel Data 2004The behaviour of the maximum likelihood estimator of limited dependent variable models in the presence of fixed effects 2000The incidental parameter problem since 1948

Cited by

2021Bias and consistency in three-way gravity models 2015Analysis of the Efficiency Determinants of Health Systems in OECD Countries by DEA and Panel Tobit 2022Discretizing Unobserved Heterogeneity 2020Interfirm Exchange and Innovation in Platform Ecosystems: Evidence from Apple’s Worldwide Developers Conference 2018Fixed Effects Estimation of Large-TPanel Data Models 2017

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.