Bias corrections for two-step fixed effects panel data estimators

Ivan Fernandez-Val
Francis Vella

Published on 27 February 2007

This Working Paper is an update of Bias corrections for two-step fixed effects panel data estimators

This paper introduces bias-corrected estimators for nonlinear panel data models with both time invariant and time varying heterogeneity. These include limited dependent variable models with both unobserved individual effects and endogenous explanatory variables, and sample selection models with unobserved individual effects.

This paper introduces bias-corrected estimators for nonlinear panel data models with both time invariant and time varying heterogeneity. These include limited dependent variable models with both unobserved individual effects and endogenous explanatory variables, and sample selection models with unobserved individual effects.

Authors

Francis Vella

Research Associate Georgetown University

Francis Vella is a Research Associate of the IFS and a Professor and the Edmund Villani Chair in Economics at Georgetown University.

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Ivan Fernandez-Val