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Intertemporal collective household models : identification in short panels with unobserved heterogeneity in resource shares

Botosaru, Irene; Muris, Chris; Pendakur, Krishna - 2020

models that includes our household model. We cover fixed-T panel models where the response variable is an unknown monotonic …

Persistent link: https://www.econbiz.de/10012228740

Identification in a binary choice panel data model with a predetermined covariate

Bonhomme, Stéphane; Dano, Kevin; Graham, Bryan S. - 2023

We study identification in a binary choice panel data model with a single predetermined binary covariate (i.e., a …

Persistent link: https://www.econbiz.de/10013489540

A Neyman-orthogonalization approach to the incidental parameter problem

Bonhomme, Stéphane; Jochmans, Koen; Weidner, Martin - 2025

. Leading examples where this is the case are models for panel and network data that feature fixed effects. In this paper, we …

Persistent link: https://www.econbiz.de/10015191457

The effect of fragmentation in trading on market quality in the UK equity market

Körber, Lena; Linton, Oliver; Vogt, Michael - 2013

volatility, liquidity and volume. We use panel regression methods on a weekly dataset following the FTSE350 stocks over the …

Persistent link: https://www.econbiz.de/10009784711

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

Fernández-Val, Iván; Weidner, Martin - 2013

Fixed effects estimators of nonlinear panel data models can be severely biased because of the well-known incidental … expansions to M-estimators with concave objective functions in parameters for panel models with additive individual and time …

Persistent link: https://www.econbiz.de/10010209259

Linear regression for panel with unknown number of factors as interactive fixed effects

Moon, Hyungsik Roger; Weidner, Martin - 2014

In this paper we study the least squares (LS) estimator in a linear panel regression model with unknown number of …

Persistent link: https://www.econbiz.de/10010392909

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

Fernández-Val, Iván; Weidner, Martin - 2014

Fixed effects estimators of nonlinear panel data models can be severely biased because of the well-known incidental … expansions to conditional maximum likelihood estimators with concave objective functions in parameters for panel models with …

Persistent link: https://www.econbiz.de/10010382120

Linear regression for panel with unknown number of factors as interactive fixed effects

Moon, Hyungsik Roger; Weidner, Martin - 2013

In this paper we study the least sqares (LS) estimator in a linear panel regression model with interactive fixed …

Persistent link: https://www.econbiz.de/10010188247

Estimation of random coefficients logit demand models with interactive fixed effects

Moon, Hyungsik Roger; Shum, Matthew; Weidner, Martin - 2014 - This draft: April 22, 2014

We extend the Berry, Levinsohn and Pakes (BLP, 1995) random coefficients discrete choice demand model, which underlies much recent empirical work in IO. We add interactive fixed effects in the form of a factor structure on the unobserved product characteristics. The interactive fixed effects can...

Persistent link: https://www.econbiz.de/10010345243

Estimation of random coefficients logit demand models with interactive fixed effects

Moon, Hyungsik Roger; Shum, Matthew; Weidner, Martin - 2012

We extend the Berry, Levinsohn and Pakes (BLP, 1995) random coefficients discretechoice demand model, which underlies much recent empirical work in IO. We add interactive fixed effects in the form of a factor structure on the unobserved product characteristics. The interactive fixed effects can...

Persistent link: https://www.econbiz.de/10009521645