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 …

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 …

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 …