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 …

mimic panel estimates. We create two metrics for assessing the grouping process, one for each potential source of bias. If …Pseudo-panels allow estimation of panel models when only repeated cross-sections are available. This involves grouping … individuals into cohorts and using the cohort means as if they are observations in a genuine panel. Their practical use is …

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 …

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 …

We study a nonlinear two-way fixed effects panel model that allows for unobserved individual heterogeneity in slopes …

section in Arellano & Bonhomme, 2011) we discuss models with both individual and time effects, split-panel Jackknife bias …This article reviews recent advances in fixed effect estimation of panel data models for long panels, where the number of … incidental parameter bias caused by the estimation of many fixed effects is our main focus, and the unifying theme is that the …

This article reviews recent advances in fixed effect estimation of panel data models for long panels, where the number … & Hahn, 2007; a section in Arellano & Bonhomme, 2011) we discuss models with both individual and time effects, split-panel … Jackknife bias corrections, unbalanced panels, distribution and quantile effects, and other extensions. Understanding and …

I derive the unconditional transformed likelihood function and its derivatives for a fixed-effects panel data model …

-effect models for panel data. We use an asymptotic embedding where the noise shrinks with the sample size to calculate the leading … bias in the empirical distribution arising from the presence of noise. The leading bias in the empirical quantile function … mean and variance have been derived. Given a closed-form expression for the bias, bias-corrected estimator of the …

-effect models for panel data. We use an asymptotic embedding where the noise shrinks with the sample size to calculate the leading … bias in the empirical distribution arising from the presence of noise. The leading bias in the empirical quantile function … for selection bias and shrinkage estimation and is to be contrasted with deconvolution. Simulation results confirm the …