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 …

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 …

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 … results are shown in a Monte Carlo study to extend to the panel data system GMM estimator. …

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 …

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

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 …

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 …

Panel data, whose series length T is large but whose cross-section size N need not be, are assumed to have a common …