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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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Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence
Arellano, Manuel; Blundell, Richard W.; Bonhomme, Stéphane - 2023
In this paper we use the enhanced consumption data in the Panel Survey of Income Dynamics (PSID) from 2005-2017 to … the presence of unobserved heterogeneity. To reliably estimate heterogeneous responses in our un-balanced panel, we …
Persistent link: https://www.econbiz.de/10014248416
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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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Nonlinear panel data estimation via quantile regressions
Arellano, Manuel; Bonhomme, Stéphane - 2015 - First draft: February 2013, This draft: July 2015
We introduce a class of quantile regression estimators for short panels. Our framework covers static and dynamic autoregressive models, models with general predetermined regressors, and models with multiple individual effects. We use quantile regression as a flexible tool to model the...
Persistent link: https://www.econbiz.de/10011295600
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Microeconomic models with latent variables : applications of measurement error models in empirical industrial organization and labor economics
Hu, Yingyao - 2015
heterogeneity or unobserved state variables and panel data models with fixed effects. Recent developments in measurement error …
Persistent link: https://www.econbiz.de/10010469057
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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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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