The Behaviour of the Maximum Likelihood Estimator of Limited Dependent Variable Models in the Presence of Fixed Effects

By William H. Greene. 2004

1,105 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/87de976769c0047270d6b8237286e40a0a2ab90b

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Citations in the corpus

A Simple Feasible Procedure to fit Models with High-dimensional Fixed Effects (2010, methodology): “For other nonlinear models, it is still possible to avoid the explicit introduction of dummy variables to account for the fixed effect by modifying the iterative algorithm used to solve the maximum likelihood problem (see Greene [2004]).”
Life satisfaction and the economic and social characteristics of neighbourhoods (2009, background): “However, as we observe a relatively large number of individuals in each of the 488 fixed neighbourhoods, any potential bias to our results is unlikely to be large (see Greene 2004 ).”
Estimating Dynamic Panel Data Discrete Choice Models with Fixed Effects (2007, methodology): “A way of proceeding is using some results from matrix algebra suggested in Chamberlain (1980) and Greene (2004), in order to simplify the computation of the inverse of the Hessian.”
Are Free Trade Agreements Contagious (2012, neutral): “(1996), Levy (1997), Fernandez and Portes (1998), Krishna (1998), Freund (2000) , Mclaren (2002), and Aghion, Antras and Helpman (2004).”
Cash transfers and labor supply: Evidence from a large-scale program in Iran (2018, neutral): “The estimation of program impact for labor force participation is complicated by the fact that it is binary, which does not lend itself to first differencing (Greene 2004).”
The relationship between well-being and commuting revisited: Does the choice of methodology matter? (2014, background): “This unfortunately also affects the estimates of β, and it has been found that the bias can be substantial in short panels (Greene, 2004).”
Competitive Crowding and Risk Taking in a Tournament: Evidence from NASCAR Racing (2007, methodology): “Greene (2004) provided theoretical and simulation-based results on bias in maximum likelihood fixed-effects models, showing that the bias of logit coefficients approaches zero as the number of observations per group increases from 2 to 20.”
Director Ownership, Governance, and Performance (2013, background): “Greene (2004) documents that when the time periods in panel data are 5 or less (as is the case in this study), nonlinear estimation may produce coefficients that can be biased in the range of 32%–68%. likely to replace the CEO.”
Earthquakes, Religion, and Transition to Self-Government in Italian Cities (2016, background): “The problem of convergence with a large set of fixed effects is common in maximum likelihood estimations (Greene, 2004).”
Safer Ratios, Riskier Portfolios: Banks’ Response to Government Aid (2014, neutral): “14 The incidental parameters problem, first noted in Neyman and Scott (1948) and discussed more recently in Lancaster (2000) and Greene (2004), arises because the number of fixed effects increases without bounds, but the amount of information available for their estimation is limited, particularly…”