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

Authors: Martin Weidner and Ivan Fernandez-Val
Date: 01 May 2016
Type: Journal Article, Journal of Econometrics, Vol. 192, No. 1, pp. 291-312
DOI: 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.

Previous version:
Ivan Fernandez-Val and Martin Weidner April 2015, Individual and time effects in nonlinear panel models with large <i>N</i>, <i>T</i>, cemmap Working Paper, CWP17/15, Institute for Fiscal Studies

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