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 important for many empirical applications in micro and macroeconomics. Our estimators use analytical and jackknife bias corrections to deal with the incidental parameter problem, and are asymptotically unbiased under asymptotic sequences where N/T converges to a constant. We develop inference methods and show that they perform well in numerical examples.
Authors
Research Associate University College London and University of Oxford
Martin is an IFS Research Associate, a Fellow of the Nuffield College and a Professor in the Department of Economics at the University of Oxford.
Ivan Fernandez-Val
Journal article details
- DOI
- 10.1016/j.jeconom.2015.12.014
- Publisher
- Elsevier
- Issue
- Volume 192, Issue 1, May 2016, pages 291-312
Suggested citation
Fernandez-Val, I and Weidner, M. (2016). 'Individual and time effects in nonlinear panel models with large N, T' 192(1/2016), pp.291–312.
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