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...

In this paper I analyze whether restrictions to capital mobility reduce countries’ vulnerability to major external shocks. More specifically, I ask if countries that restrict the free flow of international capital have a lower probability of experiencing a sudden stop and being subject to contagion than countries that have a freer degree of capital mobility. I use three new indexes on the degre...

We estimate how capital gains realizations respond to marginal tax rates on capital gains using a panel of aggregate data for U.S. states for the years 1957 through 2007. In specifications controlling for state fixed effects and year fixed effects, where identification comes from difference-in-differences variation in effective state marginal tax rates, our point estimate of the elasticity of c...

Fixed effects estimates of structural parameters in nonlinear panel models can be severely biased due to the incidental parameters problem. In this paper I show that the most important component of this incidental parameters bias for probit fixed effects estimators of index coefficients is proportional to the true parameter value, using a large-T expansion of the bias. This result allows me to ...

Even in the absence of unmeasured confounding factors or model misspecification, standard methods for estimating the causal effect of a time-varying treatment on the mean of a repeated measures outcome (for example, GEE regression) may be biased when there are time-dependent variables that are simultaneously confounders of the effect of interest and are predicted by previous treatment. In contr...

The causal relationship between SSI benefits and employment status is examined, to determine if SSI reduces disabled employment. An econometric approach not previously used to study this question employs bivariate probit models and captures the marginal effects on work status and SSI enrollment. Additionally, state-level explanatory variables are used to capture the inherent differences between...

‘‘It is philosophy, not science.’’ Physicists are familiar with this criticism of string theory, a theory that provides a unified description of all forces operating in the universe (1). Unlike philosophical arguments, scientific theories or their predictions need to be confirmed empirically. String theory involves an elegant set of mathematical equations; unfortunately, it is unclear whether i...

Robins (1993, 1994, 1997, 1998ab) has developed a set of causal or counterfactual models, the structural nested models (SNMs). This paper describes an alternative new class of causal modelsthe (non-nested) marginal structural models (MSMs). We will then describe a class of semiparametric estimators for the parameters of these new models under a sequential randomization (i.e., ignorability) assu...