Neyman and Scott (1948) define the incidental parameter problem. In panel data with T observations per individual and unobservable individual- specific effects, the inconsistency of the maximum likelihood estimator of the common parameters is in general of the order 1/T. This paper considers the...

My paper proposes a new method to estimate duration models. In particular, it shows that the integrated hazard yields moment functions that solve the following, recognized estimation problems: <br> 1. Van den Berg notes in the forthcoming Handbook of Econometrics that we need panel data for robust...

This paper considers dynamic time series binary choice models. It shows in a time series setting the validity of the dynamic probit likelihood procedure when lags of the dependent binary variable are used as regressors, and it establishes the asymptotic validity of Horowitz' smoothed maximum...

Neyman and Scott define the incidental-parameter problem. In panel data with $T$ observations per individual, the estimator of the common parameter is usually constistent with O(1/T). This paper shows that the integrated likelihood estimator becomes consistent with O(1/T^2) if an...

This paper gives a relatively simple, well behaved solution to the problem of many instruments in heteroskedastic data. Such settings are common in microeconometric applications where many instruments are used to improve efficiency and allowance for heteroskedasticity is generally important. The...

This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It is based on a jackknife version of the Sargan test statistic, having a numerator that is the objective function minimized by the JIVE2 estimator of Angrist, Imbens, and Krueger...

This paper derives the limiting distributions of alternative jackknife IV (JIV ) estimators and gives formulae for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework includes the many instrument sequence of Bekker (1994)...

This paper presents a new estimator for the mixed proportional hazard model that allows for a nonparametric baseline hazard and time-varying regressors. In particular, this paper allows for discrete measurement of the durations as happens often in practice. The integrated baseline hazard and all...

This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It is based on a jackknife version of the overidentifying test statistic. Correct asymptotic critical values are derived for this statistic when the number of instruments grows...