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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
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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
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Individual and time effects in nonlinear panel models with large N, T
Fernández-Val, Iván; Weidner, Martin - 2015
Fixed effects estimators of nonlinear panel data models can be severely biased because of the incidental parameter … expansions to conditional maximum likelihood estimators with concave objective functions in parameters for panel models with …
Persistent link: https://www.econbiz.de/10010501255
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Binarization for panel models with fixed effects
Botosaru, Irene; Muris, Chris - 2017
In nonlinear panel models with fixed effects and fixed-T, the incidental parameter problem poses identification …
Persistent link: https://www.econbiz.de/10011662786
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Semiparametric nonlinear panel data models with measurement error
Linton, Oliver; Shiu, Ji-liang - 2018
This paper develops the identification and estimation of nonlinear semi-parametric panel data models with mismeasured …
Persistent link: https://www.econbiz.de/10011775206
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Fixed effect estimation of large T panel data models
Fernández-Val, Iván; Weidner, Martin - 2017
This article reviews recent advances in fixed effect estimation of panel data models for long panels, where the number of … section in Arellano & Bonhomme, 2011) we discuss models with both individual and time effects, split-panel Jackknife bias …
Persistent link: https://www.econbiz.de/10011758045
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Fixed effect estimation of large T panel data models
Fernández-Val, Iván; Weidner, Martin - 2018
This article reviews recent advances in fixed effect estimation of panel data models for long panels, where the number … & Hahn, 2007; a section in Arellano & Bonhomme, 2011) we discuss models with both individual and time effects, split-panel …
Persistent link: https://www.econbiz.de/10011812268
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Time-varying linear transformation models with fixed effects and endogeneity for short panels
Botosaru, Irene; Muris, Chris; Sokullu, Senay - 2022
This paper considers a class of fixed-T nonlinear panel models with timevarying link function, fixed effects, and …
Persistent link: https://www.econbiz.de/10012813642
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Variable selection and estimation in high-dimensional models
Horowitz, Joel - 2015
Models with high-dimensional covariates arise frequently in economics and other fields. Often, only a few covariates have important effects on the dependent variable. When this happens, the model is said to be sparse. In applications, however, it is not known which covariates are important and...
Persistent link: https://www.econbiz.de/10011287010
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Expend, a Gauss programme for non-linear GMM estimation of exponential models with endogenous regressors for cross section and panel data
Windmeijer, Frank (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001748235