This paper provides a method to construct simultaneous confidence bands for quantile functions and quantile effects in nonlinear network and panel models with unobserved two-way effects, strictly exogenous covariates, and possibly discrete outcome variables. The method is based upon projection...

Factor structures or interactive effects are convenient devices to incorporate latent variables in panel data models. We consider fixed effect estimation of nonlinear panel single-index models with factor structures in the unobservables, which include logit, probit, ordered probit and Poisson...

We study the incidental parameter problem in "three-way" Poisson Pseudo-Maximum Likelihood "PPML" gravity models recently recommended for identifying the effects of trade policies. Despite the number and variety of fixed effects this model entails, we confirm it is consistent for small T and we...

This paper provides a method to construct simultaneous confidence bands for quantile functions and quantile effects in nonlinear network and panel models with unobserved two-way effects, strictly exogenous covariates, and possibly discrete outcome variables. The method is based upon projection...

We study the incidental parameter problem for the "three-way" Poisson Pseudo-Maximum Likelihood ("PPML") estimator recently recommended for identifying the effects of trade policies and in other panel data gravity settings. Despite the number and variety of fixed effects involved, we confirm...

This paper provides a method to construct simultaneous confidence bands for quantile functions and quantile effects in nonlinear network and panel models with unobserved two-way effects, strictly exogenous covariates, and possibly discrete outcome variables. The method is based upon projection...

Factor structures or interactive effects are convenient devices to incorporate latent variables in panel data models. We consider fixed effect estimation of nonlinear panel single-index models with factor structures in the unobservables, which include logit, probit, ordered probit and Poisson...