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Individual and Time Effects in Nonlinear Panel Models with Large N, T

Fernandez-Val, I; Weidner, M; (2016) Individual and Time Effects in Nonlinear Panel Models with Large N, T. Journal of Econometrics , 192 (1) pp. 291-312. 10.1016/j.jeconom.2015.12.014. Green open access

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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.

Type: Article
Title: Individual and Time Effects in Nonlinear Panel Models with Large N, T
Open access status: An open access version is available from UCL Discovery
DOI: 10.1016/j.jeconom.2015.12.014
Publisher version: http://dx.doi.org/10.1016/j.jeconom.2015.12.014
Language: English
Additional information: This is an Open Access article distributed under the terms of the Creative Commons Attribution International License (http://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Keywords: panel data, nonlinear model, dynamic model, fixed effects, bias correction
UCL classification: UCL
UCL > Provost and Vice Provost Offices > UCL SLASH
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics
URI: https://discovery.ucl.ac.uk/id/eprint/1473260
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