Orthogonal Parameters and Panel Data

By T. Lancaster. 2002

250 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/05ae462393ddfc8b86bc04961b1d3d3d5ad6291c

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In Economics and Econometrics

Citations in the corpus

Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence (2016, background): “COMMON CORRELATED EFFECTS ESTIMATION OF DYNAMIC PANELS 429 2007; Choi et al., 2010), and likelihood-based estimators (Lancaster, 2002; Moreira, 2009).”
Decision Theory Applied to an Instrumental Variables Model (2007, background): “There are recent discussions of incidental parameters and panel data in Lancaster (2002) and Arellano (2003).”
Using a likelihood perspective to sharpen econometric discourse: Three examples (2000, methodology): “Lancaster (1997) points out that this approach emerges from Bayesian analysis under an assumption that DoD(1, in the limit as the prior on the c i becomes #at.”
Grouped effects estimators in fixed effects models (2016, background): “Perhaps the best known random effects assumption is independence between observables and unobservables; see Hausman and Taylor (1981) for a very general discussion of identification and estimation in the linear model and Wooldridge (2002) for a discussion of this type of restriction in many commonly”
Bias Corrections for Two-Step Fixed Effects Panel Data Estimators (2007, unknown): “Then, we have √ nT ( θ̃1 − θ10 ) d → N (0,J −1 1 Ω̄1J −1 1 ) (17)”
Generalized least squares inference in panel and multilevel models with serial correlation and fixed effects (2007, methodology): “In the case of the fixed effects model, a potential solution suggested by Macurdy (1982) in a frequentist setting and Lancaster (2002) in a Bayesian setting is to first-difference the data to remove the fixed effects which will produce a known transformation of the original process.”
Bias-Corrected Estimation in Dynamic Panel Data Models (2005, methodology): “Finally, Lancaster (2002) took a Bayesian approach to dynamic panel data models, finding a relatively simple set of firstorder conditions for the maximum of the posterior.”
The incidental parameter problem since 1948 (2000, methodology): “38The details are given in the unpublished working paper Lancaster (1997). 406 T. Lancaster / Journal of Econometrics 95 (2000) 391}413”
Asymptotic properties of a robust variance matrix estimator for panel data when T is large (2007, background): “See, for example, Nickell (1981), MaCurdy (1982), Solon (1984), Lancaster (2002), Hahn and Kuersteiner (2002), Hahn and Newey (2004), and Hansen (2006). (8)The test could alternatively be defined by only considering the ðkðk þ 1ÞÞ=2 unique elements of b W b W ðbyÞ and using the inverse of the implie”
BIAS REDUCTION FOR DYNAMIC NONLINEAR PANEL MODELS WITH FIXED EFFECTS (2011, background): “Since α (m) δ+b2 4r+δ = o 3 α (m) δ 4r+δ ́ the second term in (11) can be subsumed into the constant C(r).”
Model Selection in the Presence of Incidental Parameters (2015, unknown): “Therefore, the discussion in Arellano and Bonhomme (2009) also applies to the conditional prior πi(λi|ψ k) in (31): unlike the Jeffreys’ prior, it generally depends on the data unless an orthogonal reparametrization (e.g., Lancaster, 2002) or some equivalent condition is available.”
Count Panel Data (2015, result): “This result, given in Blundell, Gri th, and Windmeijer (1997, 2002) and Lancaster (1997) is analogous to that for MLE in the linear regression model under normality with xed e ects { in principle the i introduce an incidental parameters problem, but in these speci c models this does not lead to…”