Search Results - subject:"Incidental parameter"

Essays on bootstrap methods in econometrics

Melou, Maximilien Kaffo - 2014

Persistent link: https://www.econbiz.de/10010516096

Panel data models with nonadditive unobserved heterogeneity: Estimation and inference

Fernández-Val, Iván; Lee, Joonhwah - In: Quantitative Economics 4 (2013) 3, pp. 453-481

Persistent link: https://www.econbiz.de/10011599645

Panel data models with nonadditive unobserved heterogeneity : estimation and inference

Fernández-Val, Iván; Lee, Joonhwah - In: Quantitative economics : QE ; journal of the … 4 (2013) 3, pp. 453-481

the time series of each individual. To deal with the incidental parameter problem introduced by the noise of the within …

Persistent link: https://www.econbiz.de/10011757086

Modified profile likelihood for fixed-effects panel data models

Bartolucci, Francesco; Bellio, R.; Salvan, A.; Sartori, N. - In: Econometric reviews 35 (2016) 5/7, pp. 1271-1289

Persistent link: https://www.econbiz.de/10011591243

Worker Reallocation across Occupations in Western Germany

Isaoglu, Aysen - 2010

to obtain coefficients and marginal effects. The incidental parameter bias is reduced by the method proposed in Hahn and …

Persistent link: https://www.econbiz.de/10011600961

Worker Reallocation across Occupations in Western Germany

Isaoglu, Aysen - Forschungsbasierte Infrastruktureinrichtung … - 2010

to obtain coefficients and marginal effects. The incidental parameter bias is reduced by the method proposed in Hahn and …

Persistent link: https://www.econbiz.de/10008671257

Conditional Logit with one Binary Covariate: Link between the Static and Dynamic Cases

Davezies, Laurent; AEBERHARDT, R. - Département des Études Économiques d'Ensemble (D3E), … - 2010

Disentangling state dependence from unobserved heterogeneity is a common issue in economics. It arises for instance when studying transitions between different states on the labor market. When the outcome variable is binary, one of the usual strategies consists in using a conditional logit model...

Persistent link: https://www.econbiz.de/10009003498

Worker reallocation across occupations in Western Germany

Isaoglu, Aysen - 2010

to obtain coefficients and marginal effects. The incidental parameter bias is reduced by the method proposed in Hahn and …

Persistent link: https://www.econbiz.de/10008826392

Essays on economic and econometric applications of Bayesian estimation and model comparison

Li, Guangjie - 2009

model comparison. The first two chapters study the incidental parameter problem mainly under a linear autoregressive (AR … proposes a correction function approach to solve the incidental parameter problem. It is discovered that the correction … reparameterization of the fixed effect parameter proposed by Lancaster (2002) may not provide a valid solution to the incidental …

Persistent link: https://www.econbiz.de/10009474900

Consistent estimation, model selection and averaging of dynamic panel data models with fixed effect

Li, Guangjie - 2009

In the context of an autoregressive panel data model with fixed effect, we examine the relationship between consistent parameter estimation and consistent model selection. Consistency in parameter estimation is achieved by using the tansformation of the fixed effect proposed by Lancaster (2002)....

Persistent link: https://www.econbiz.de/10010288764