Search Results - subject:"Incidental parameters"

Practical guidelines for the estimation and inference of a dynamic logistic model with fixed-effects

Aeberhardt, Romain; Davezies, Laurent - In: Economics Letters 115 (2012) 2, pp. 300-304

This paper shows how to simply compute one of the estimators proposed by Honoré and Kyriazidou (2000), as well as its variance, through a reshaping of the original dataset that is then used in a weighted logistic regression with clustering.

Persistent link: https://www.econbiz.de/10011041880

Identification and estimation of thresholds in the fixed effects ordered logit model

Baetschmann, Gregori - In: Economics Letters 115 (2012) 3, pp. 416-418

This paper proposes a new estimator for the fixed effects ordered logit model. In contrast to existing methods, the new procedure allows estimating the thresholds. The empirical relevance and simplicity of implementation is illustrated in an application on the effect of unemployment on life...

Persistent link: https://www.econbiz.de/10010572132

Fixed Effects Estimation in Panel Nonlinear Fractional Response Models

Li, Xiaoming - Department of Economics, University of Connecticut - 2011

estimator after analytical bias correction is robust to the incidental parameters bias and reduces the bias order from O(T−1) to …Estimations of nonlinear panel models that include individual specific fixed effects are complicated by the incidental … parameters problem, that is, the asymptotic bias in the estimation of typical fixed effects panel models generally results in …

Persistent link: https://www.econbiz.de/10009643791

Estimating functions for repeated measures with incidental parameters

Crowder, Martin - In: Annals of the Institute of Statistical Mathematics 63 (2011) 3, pp. 535-558

Persistent link: https://www.econbiz.de/10008925557

Nonlinear Panel Data Analysis

Arellano, Manuel; Bonhomme, Stèphane - In: Annual Review of Economics 3 (2011) 1, pp. 395-424

Nonlinear panel data models arise naturally in economic applications, yet their analysis is challenging. Here we provide a progress report on some recent advances in the area. We start by reviewing the properties of random-effects likelihood approaches. We emphasize a link with Bayesian...

Persistent link: https://www.econbiz.de/10010604258

Reconsidering the analysis of longitudinal happiness data : with an application to the effect of unemployment

Baetschmann, Gregori; Staub, Kevin E.; Winkelmann, Rainer - 2011 - Revised version, June 2011

The paper reconsiders existing estimators for the panel data fixed effects ordered logit model, including one that has not been used in econometric studies before, and studies the small sample properties of these estimators in a series of Monte Carlo simulations. There are two main findings....

Persistent link: https://www.econbiz.de/10009748954

Minimal asymptotic distributions for estimators of panel data models

Woutersen, Tiemen - 2002

This paper develops the minimal asymptotic distributions for estimators of panel data models with incidental parameters …

Persistent link: https://www.econbiz.de/10010292028

Robustness against incidental parameters and mixing distributions

Woutersen, Tiemen - 2001

Neyman and Scott (1948) define the incidental parameter problem. In panel data with T observations per individual and unobservable individual- specific effects, the inconsistency of the maximum likelihood estimator of the common parameters is in general of the order 1/T. This paper considers the...

Persistent link: https://www.econbiz.de/10010292003

Maximum Likelihood Estimation in Panels with Incidental Trends

Moon, Hyungsik R.; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1999

It is shown that the maximum likelihood estimator of a local to unity parameter can be consistently estimated with panel data when the cross section observations are independent. Consistency applies when there are no deterministic trends or when there is a homogeneous deterministic trend in the...

Persistent link: https://www.econbiz.de/10005593498

Addressing the Shortcomings of Three Recent Bayesian Methods for Detecting Interspecific Recombination in DNA Sequence Alignments

Husmeier, Dirk; Mantzaris, Alexander - In: Statistical Applications in Genetics and Molecular Biology 7 (2008) 1, pp. 34-34

We address a potential shortcoming of three probabilistic models for detecting interspecific recombination in DNA sequence alignments: the multiple change-point model (MCP) of Suchard et al. (2003), the dual multiple change-point model (DMCP) of Minin et al. (2005), and the phylogenetic...

Persistent link: https://www.econbiz.de/10005585049