Individual and time effects in nonlinear panel models with large N, T
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Date
2016
DOI
Authors
Fernández-Val, Iván
Weidner, Martin
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Accepted manuscript
OA Version
Citation
I Fernández-Val, M Weidner. 2016. "Individual and time effects in nonlinear panel models with large N, T." Journal of Econometrics, Volume 192, Issue 1, pp. 291 - 312. https://doi.org/10.1016/j.jeconom.2015.12.014
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.
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© 2016 TheAuthors. Published by Elsevier B.V.
This is an open access article under the CC BY license
(http://creativecommons.org/licenses/by/4.0/). Open Access funded by Economic and Social Research Council.