parameter problem. We develop analytical and jackknife bias corrections for nonlinear models with both individual and time …Fixed effects estimators of nonlinear panel data models can be severely biased because of the well-known incidental … effects. Under asymptotic sequences where the time-dimension (T) grows with the cross-sectional dimension (N), the time …

parameter problem. We develop analytical and jackknife bias corrections for nonlinear models with both individual and time … expansions to M-estimators with concave objective functions in parameters for panel models with additive individual and time … important class of models. We also develop bias corrections for functions of the data, parameters and individual and time …

Fixed effects estimators in nonlinear panel models with fixed T usually suffer from inconsistency because of the … a k-step parametric bootstrap bias corrected estimator. We prove that our estimator is asymptotically normal and is … centered at the true parameter if T grows faster than ∛n. In addition to bias correction, we construct a confidence interval …

problem. We develop analytical and jackknife bias corrections for nonlinear models with both individual and time effects …Fixed effects estimators of nonlinear panel data models can be severely biased because of the incidental parameter …. Under asymptotic sequences where the time-dimension (T) grows with the cross-sectional dimension (N), the time effects …

Many questions in urban and regional economics can be characterized as including both a spatial and a time dimension … inertia, investigating the effect of neglecting the spatial or the time dimension when in fact both are important. A tale of … difficult to analyze than a typical omitted variables problem. First, the bias of omitting a relevant dimension is approximated …

In nonlinear panel models with fixed effects and fixed-T, the incidental parameter problem poses identification … difficulties for structural parameters and partial effects. Existing solutions are model-specific, likelihood-based, impose time … of Fixed Effects Linear Transformation (FELT) models with unknown, time-varying, weakly mono- tone transformation …

where the cross sectional and time series dimensions of the panel pass to infinity at the same rate, the uncorrected …This paper considers fixed effects estimation and inference in linear and non-linear panel data models with random … the time series of each individual. To deal with the incidental parameter problem introduced by the noise of the within …

Approximation formulae are developed for the bias of ordinary andgeneralized Least Squares Dummy Variable (LSDV …) estimators in dynamicpanel data models. Results from Kiviet (1995, 1999) are extended tohigher-order dynamic panel data models … proper modelling of thedisturbance covariance structure is indispensable. The biasapproximations are used to construct bias …

Through Monte Carlo experiments the small sample behavior is examinedof various inference techniques for dynamic panel … data models whenboth the time-series and cross-section dimensions of the data set aresmall. The LSDV technique and … corrected versions of it are comparedwith IV and GMM regarding: coefficient bias, accuracy of varianceestimators - both of the …

The finite sample behaviour is analysed of particular least squares (LS) andmethod of moments (MM) estimators in panel … of bias of (generalized) MMestimators tends to increase with the number of moment conditions exploited. Forvarious … feedbacks none of the techniques examined dominates. However, asimple bias corrected LS estimator which presupposes strict …