Fixed effects estimators of panel models can be severely biased because of the well-known incidental parameters problem. We show that this bias can be reduced by using a panel jackknife or an analytical bias correction motivated by large T. We give bias corrections for averages over the fixed...

Choice models with nonlinear budget sets provide a precise way of accounting for the nonlinear tax structures present in many applications. In this paper we propose a nonparametric approach to estimation of these models. The basic idea is to think of the choice, in our case hours of labor...

This paper considers estimation and testing of vector autoregressio n coefficients in panel data, and applies the techniques to analyze the dynamic relationships between wages an d hours worked in two samples of American males. The model allows for nonstationary individual effects and is...

We develop a new specification test for IV estimators adopting a particular second order approximation of Bekker. The new specification test compares the difference of the forward (conventional) 2SLS estimator of the coefficient of the right-hand side endogenous variable with the reverse 2SLS...