Estimation and Testing of Fixed-effect Panel-data Systems
نویسندگان
چکیده
منابع مشابه
Nonparametric estimation and testing of fixed effects panel data models.
In this paper we consider the problem of estimating nonparametric panel data models with fixed effects. We introduce an iterative nonparametric kernel estimator. We also extend the estimation method to the case of a semiparametric partially linear fixed effects model. To determine whether a parametric, semiparametric or nonparametric model is appropriate, we propose test statistics to test betw...
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In the context of an autoregressive panel data model with fixed effect, we examine the relationship between consistent parameter estimation and consistent model selection. Consistency in parameter estimation is achieved by using the tansformation of the fixed effect proposed by Lancaster (2002). We find that such transformation does not necessarily lead to consistent estimation of the autoregre...
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We propose a jackknife for reducing the order of the bias of maximum likelihood estimates of nonlinear dynamic fixed effects panel models. In its simplest form, the half-panel jackknife, the estimator is just 2θ̂ − θ1/2, where θ̂ is the MLE from the full panel and θ1/2 is the average of the two half-panel MLEs, each using T/2 time periods and all N cross-sectional units. This estimator eliminates...
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ژورنال
عنوان ژورنال: The Stata Journal: Promoting communications on statistics and Stata
سال: 2005
ISSN: 1536-867X,1536-8734
DOI: 10.1177/1536867x0500500205