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Inference after estimation of breaks
Andrews, Isaiah; Kitagawa, Toru; McCloskey, Adam - 2020
In an important class of econometric problems, researchers select a target parameter by maximizing the Euclidean norm of a data-dependent vector. Examples that can be cast into this frame include threshold regression models with estimated thresholds and structural break models with estimated...
Persistent link: https://www.econbiz.de/10012241853
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Inference after estimation of breaks
Andrews, Isaiah; Kitagawa, Toru; McCloskey, Adam - 2019
In an important class of econometric problems, researchers select a target parameter by maximizing the Euclidean norm of a data-dependent vector. Examples that can be cast into this frame include threshold regression models with estimated thresholds, and structural break models with estimated...
Persistent link: https://www.econbiz.de/10012109832
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Identification in a binary choice panel data model with a predetermined covariate
Bonhomme, Stéphane; Dano, Kevin; Graham, Bryan S. - 2023
We study identification in a binary choice panel data model with a single predetermined binary covariate (i.e., a …
Persistent link: https://www.econbiz.de/10013489540
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Identification in dynamic binary choice models
Chamberlain, Gary - 2023
This paper studies identification in a binary choice panel data model with choice probabilities depending on a lagged …
Persistent link: https://www.econbiz.de/10014316748
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Identification in a binary choice panel data model with a predetermined covariate
Bonhomme, Stéphane; Dano, Kevin; Graham, Bryan S. - 2023
We study identification in a binary choice panel data model with a single predetermined binary covariate (i.e., a …
Persistent link: https://www.econbiz.de/10014316769
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A Neyman-orthogonalization approach to the incidental parameter problem
Bonhomme, Stéphane; Jochmans, Koen; Weidner, Martin - 2025
. Leading examples where this is the case are models for panel and network data that feature fixed effects. In this paper, we …
Persistent link: https://www.econbiz.de/10015191457
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Individual and time effects in nonlinear panel models with large N, T
Fernández-Val, Iván; Weidner, Martin - 2013
Fixed effects estimators of nonlinear panel data models can be severely biased because of the well-known incidental … expansions to M-estimators with concave objective functions in parameters for panel models with additive individual and time …
Persistent link: https://www.econbiz.de/10010209259
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Individual and time effects in nonlinear panel models with large N, T
Fernández-Val, Iván; Weidner, Martin - 2014
Fixed effects estimators of nonlinear panel data models can be severely biased because of the well-known incidental … expansions to conditional maximum likelihood estimators with concave objective functions in parameters for panel models with …
Persistent link: https://www.econbiz.de/10010382120
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Individual and time effects in nonlinear panel models with large N, T
Fernández-Val, Iván; Weidner, Martin - 2015
Fixed effects estimators of nonlinear panel data models can be severely biased because of the incidental parameter … expansions to conditional maximum likelihood estimators with concave objective functions in parameters for panel models with …
Persistent link: https://www.econbiz.de/10010501255
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Minimizing sensitivity to model misspecification
Bonhomme, Stéphane; Weidner, Martin - 2018
be partially or irregularly identified. To illustrate our approach we study panel data models where the distribution of …
Persistent link: https://www.econbiz.de/10011912653