JACKKNIFE AND ANALYTICAL BIAS REDUCTION FOR NONLINEAR PANEL MODELS

By Jinyong Hahn, Whitney K. Newey. 2003

505 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/a7d20543b504becab23af338e4be9253a02d1163

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In Economics and Econometrics

Citations in the corpus

Model Selection in the Presence of Incidental Parameters (2015, unknown): “The standard bias corrected estimators in nonlinear (dynamic) fixed effect regressions correspond to ψ in (6) and are given by (e.g., Hahn and Newey, 2004; Arellano and Hahn, 2007; Hahn and Kuersteiner, 2011) ψ = ψ − 1 T 1 n n i=1 Iei −1 1 n n i=1 d dψ Mi(ψ) , whereIei is a consistent estimator…”
Grouped Patterns of Heterogeneity in Panel Data (2015, methodology): “Moreover, the proof of Lemma 4 shows that there exists a non-stochastic bT such that, for η such that (35) is satisfied:”
Asymptotics for panel quantile regression models with individual effects (2012, methodology): “…that, in contrast to estimators with smooth objective functions that have been studied in the literature such as Li, Lindsay, and Waterman (2003), Hahn and Newey (2004) and Fernandez-Val (2005), the Taylorseries methods of asymptotic distribution theory do not apply to the FE-QR estimator, 6See…”
A general method for third-order bias and variance corrections on a nonlinear estimator (2015, methodology): “The Assumption A may be relaxed to allow for asymptotic (first-order) bias, and our methods can in principle be applied to do higher-order bias reduction for dynamic or nonlinear panel models with fixed effects, see Hahn and Kuersteiner (2002) and Hahn and Newey (2004).”
BIAS REDUCTION FOR DYNAMIC NONLINEAR PANEL MODELS WITH FIXED EFFECTS (2011, background): “and that by Lemma (6) it follows that Ã 1 n n X”
Identifying distributional characteristics in random coefficients panel data models (2009, background): “(37) Let !i be an m× 1 vector of parameters such that:”
Understanding Bias in Nonlinear Panel Models: Some Recent Developments ∗ (2005, background): “These two versions of biascorrected moment equation are discussed in Hahn and Newey (2004).”
Penalized Quantile Regression for Dynamic Panel Data (2010, background): “See, for example, Arellano and Hahn (2007) for a survey, and Hahn and Kuersteiner (2002, 2003), Alvarez and Arellano (2003), Hahn and Newey (2004), Arellano and Hahn (2006), Bester and Hansen (2009), for specific approaches.”
Jackknife estimation of stationary autoregressive models (2013, unknown): “…both bootstrap and jackknife bias corrections to maximum likelihood estimators based on an i.i.d. sample while applications to panel data models (including nonlinear and dynamic models) have been considered by Hahn and Newey (2004), Hahn and Moon (2006) and Dhaene, Jochmans and Thuysbaert (2006).”
Estimation of random coefficients logit demand models with interactive fixed effects (2012, methodology): “Following some recent panel data literature, e.g. Hahn and Kuersteiner (2002; 2004) and Hahn and Newey (2004), we handle this problem by considering asymptotics where both J and T become large.”
Robust priors in nonlinear panel data models (2007, background): “(24) One can also use expected quantities as: bb πRi (αi|θ) ∝ ( T X”
Individual and time effects in nonlinear panel models with large N , T (2013, methodology): “…this approximation include Phillips and Moon (1999), Hahn and Kuersteiner (2002), Lancaster (2002), Woutersen (2002), Alvarez and Arellano (2003), Hahn and Newey (2004), Carro (2007), Arellano and Bonhomme (2009), Fernández-Val (2009), Hahn and Kuersteiner (2011), Fernández-Val and Vella (2011)…”