Individual and time effects in nonlinear panel models with large N, T
Individual and time effects in nonlinear panel models with large N, T
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DOI：
10.1016/j.jeconom.2015.12.014
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发表时间：
2016-05-01
影响因子：
6.3
通讯作者：
Weidner, Martin
中科院分区：
文献类型：
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作者：
Fernandez-Val, Ivan;Weidner, Martin
我们推导出具有个体和时间效应的（可能是动态的）非线性面板数据模型中的参数和平均部分效应的固定效应估计量。它们涵盖了 logit、probit、ordered probit、Poisson 和 Tobit 模型，这些模型对于微观和宏观经济学中的许多实证应用都很重要。我们的估计器使用分析和折刀偏差校正来处理附带参数问题，并且在 N/T 收敛到常数的渐近序列下是渐近无偏的。我们开发了推理方法，并证明它们在数值示例中表现良好，(C) 2016 作者。由 Elsevier B.V. 出版
We derive fixed effects estimators of parameters and average partial effects in (possibly dynamic) nonlinear panel data models with individual and time effects. They cover logit, probit, ordered probit, Poisson and Tobit models that are important for many empirical applications in micro and macroeconomics. Our estimators use analytical and jackknife bias corrections to deal with the incidental parameter problem, and are asymptotically unbiased under asymptotic sequences where N/T converges to a constant. We develop inference methods and show that they perform well in numerical examples, (C) 2016 The Authors. Published by Elsevier B.V.