相关论文: probitfe and logitfe: Bias corrections for probit …

We derive fixed effects estimators of parameters and average partial effects in (possibly dynamic) nonlinear panel data models with individual and time effects. They cover logit, probit, ordered probit, Poisson and Tobit models that are…

This article reviews recent advances in fixed effect estimation of panel data models for long panels, where the number of time periods is relatively large. We focus on semiparametric models with unobserved individual and time effects, where…

Empirical economists are often deterred from the application of fixed effects binary choice models mainly for two reasons: the incidental parameter problem and the computational challenge even in moderately large panels. Using the example…

Naive maximum likelihood estimation of binary logit models with fixed effects leads to unreliable inference due to the incidental parameter problem. We study the case of three-dimensional panel data, where the model includes three sets of…

I introduce a new method for bias correction of dyadic models with agent-specific fixed effects, including the dyadic link formation model with homophily and degree heterogeneity. The proposed approach uses a jackknife procedure to deal…

This paper systematically analyzes and reviews identification strategies for binary choice logit models with fixed effects in panel and network data settings. We examine both static and dynamic models with general fixed-effect structures,…

We study linear panel regression models in which the unobserved error term is an unknown smooth function of two-way unobserved fixed effects. In standard additive or interactive fixed effect models the individual specific and time specific…

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,…

This paper considers fixed effects estimation and inference in linear and nonlinear panel data models with random coefficients and endogenous regressors. The quantities of interest -- means, variances, and other moments of the random…

Nonlinear panel data models with fixed individual effects provide an important set of tools for describing microeconometric data. In a large class of such models (including probit, proportional hazard and quantile regression to name just a…

This paper considers panel data models where the conditional quantiles of the dependent variables are additively separable as unknown functions of the regressors and the individual effects. We propose two estimators of the quantile partial…

Inference for fixed effects estimators is often unreliable due to Nickell- and incidental parameter biases. While these issues are well understood for classical two-dimensional panels, little is known about three-dimensional panel…

Fixed effect estimators of nonlinear panel data models suffer from the incidental parameter problem. This leads to two undesirable consequences in applied research: (1) point estimates are subject to large biases, and (2) confidence…

We provide new results for nonparametric identification, estimation, and inference of causal effects using `proxy controls': observables that are noisy but informative proxies for unobserved confounding factors. Our analysis applies to…

This paper studies a dynamic ordered logit model for panel data with fixed effects. The main contribution of the paper is to construct a set of valid moment conditions that are free of the fixed effects. The moment functions can be computed…

By exploiting McFadden (1974)'s results on conditional logit estimation, we show that there exists a one-to-one mapping between existence and uniqueness of conditional maximum likelihood estimates of the binary logit model with fixed…

We introduce a generic class of dynamic nonlinear heterogeneous parameter models that incorporate individual and time fixed effects in both the intercept and slope. These models are subject to the incidental parameter problem, in that the…

This paper investigates the construction of moment conditions in discrete choice panel data with individual specific fixed effects. We describe how to systematically explore the existence of moment conditions that do not depend on the fixed…

This paper studies the estimation of linear panel data models with interactive fixed effects, where one dimension of the panel, typically time, may be fixed. To this end, a novel transformation is introduced that reduces the model to a…

This paper studies identification and estimation of average causal effects, such as average marginal or treatment effects, in fixed effects logit models with short panels. Relating the identified set of these effects to an extremal moment…