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Estimation of nonlinear panel models with multiple unobserved effects
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Chen, Mingli (2016) Estimation of nonlinear panel models with multiple unobserved effects. Working Paper. Coventry: University of Warwick. Department of Economics. Warwick economics research papers series (WERPS) (1120).
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Official URL: https://www2.warwick.ac.uk/fac/soc/economics/resea...
Abstract
I propose a fixed effects expectation-maximization (EM) estimator that can be applied to a class of nonlinear panel data models with unobserved heterogeneity, which is modelled as individual effects and/or time effects. Of particular interest is the case of interactive effects, i.e. when the unobserved heterogeneity is modelled as a factor analytical structure. The estimator is obtained through a computationally simple, iterative two-step procedure, where the two steps have closed form solutions. I show that estimator is consistent in large panels and derive the asymptotic distribution for the case of the probit with interactive effects. I develop analytical bias corrections to deal with the incidental parameter problem. Monte Carlo experiments demonstrate that the proposed estimator has good finite-sample properties.
Item Type: | Working or Discussion Paper (Working Paper) | ||||
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Subjects: | H Social Sciences > H Social Sciences (General) Q Science > QA Mathematics |
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Divisions: | Faculty of Social Sciences > Economics | ||||
Library of Congress Subject Headings (LCSH): | Panel analysis -- Mathematical models, Latent variables | ||||
Series Name: | Warwick economics research papers series (WERPS) | ||||
Publisher: | University of Warwick. Department of Economics | ||||
Place of Publication: | Coventry | ||||
ISSN: | 0083-7350 | ||||
Official Date: | March 2016 | ||||
Dates: |
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Number: | 1120 | ||||
Number of Pages: | 45 | ||||
Institution: | University of Warwick | ||||
Status: | Not Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Open Access (Creative Commons) |
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