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 …

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 …

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 …

model in terms of bias and root mean squared error. However, we show in this paper that in the covariance stationary panel …The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences … crosssection at time t are the same when the variances of the individual heterogeneity and idiosyncratic errors are the same. This …

endogenous regressors for cross section and panel data. The estimators included in this package are simple Poisson pseudo ML; GMM … Poisson for panel data; GMM estimation using quasi-differenced moment conditions eliminating unobserved heterogeneity and …

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 … parameters and average partial effects have normal distributions when the two dimensions of the panel grow large, but might …

be partially or irregularly identified. To illustrate our approach we study panel data models where the distribution of … individual effects may be misspecified and the number of time periods is small, and we revisit the structural evaluation of a …

lead to lower bias bounds than separate weights, and that averaging leads to further gains when the number of outcomes …

Panel data, whose series length T is large but whose cross-section size N need not be, are assumed to have a common … time trend. The time trend is of unknown form, the model includes additive, unknown, individual-specific components, and we …

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 … parameters and average partial effects have normal distributions when the two dimensions of the panel grow large, but might …