Fixed effects estimators of nonlinear panel data models can be severely biased because of the well-known incidental … parameter problem. We develop analytical and jackknife bias corrections for nonlinear models with both individual and time … effects introduce additional incidental parameter bias. As the existing bias corrections apply to models with only individual …

Fixed effects estimators of nonlinear panel data models can be severely biased because of the well-known incidental … parameter problem. We develop analytical and jackknife bias corrections for nonlinear models with both individual and time … effects introduce additional incidental parameter bias. As the existing bias corrections apply to models with only individual …

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 …

Fixed effects estimators of nonlinear panel data models can be severely biased because of the incidental parameter … problem. We develop analytical and jackknife bias corrections for nonlinear models with both individual and time effects … introduce additional incidental parameter bias. As the existing bias corrections apply to models with only individual effects …

In nonlinear panel models with fixed effects and fixed-T, the incidental parameter problem poses identification …

This paper considers fixed effects estimation and inference in linear and non-linear panel data models with random …-individual estimators in short panels, we develop bias corrections. These corrections are based on higher-order asymptotic expansions of the … where the cross sectional and time series dimensions of the panel pass to infinity at the same rate, the uncorrected …

pdynmc is an R-package for GMM estimation of linear dynamic panel data models that are based on linear and nonlinear … statistician. The description of the functionality is based on replicating the results on a publicly available panel data set …. Additionally, we link our implementation to other software and packages for GMM estimation of linear dynamic panel data models. …

This paper introduces a new estimator for the fixed effects dynamic panel data model withexogenous variables. This … small samples. The nearly unbiased estimatoris derived as a bias correction of the within estimator (least squares dummy …

Fixed effects estimation of nonlinear dynamic panel models is subject to the incidental parameter issue, leading to a … dependence types the asymptotic bias disappears, but a O_p(1/T) small-sample bias remains. We provide bias correction and …