Robust priors in nonlinear panel data models

By M. Arellano, S. Bonhomme. 2007

135 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/e2e7250375f01d78ab6014d9c2446709e36e25c0

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In Economics and Econometrics

Citations in the corpus

Individual and time effects in nonlinear panel models with large N , T (2013, background): “A recent literature, surveyed in Arellano and Hahn (2007) and including Phillips and Moon (1999), Hahn and Kuersteiner (2002), Lancaster (2002), Woutersen (2002), Hahn and Newey (2004), Carro (2007), Arellano and Bonhomme (2009), Fernandez-Val (2009), Hahn and Kuersteiner (2011), Fernandez-Val and V”
Split-Panel Jackknife Estimation of Fixed-Effect Models (2015, background): “Lancaster (2002), Woutersen (2002), Arellano and Hahn (2006), and Arellano and Bonhomme (2009) propose estimators that maximize modified objective functions and enjoy the same type of asymptotic properties.”
Smoothed quantile regression for panel data (2015, unknown): “…bias correction methods for the ML estimation (or more generally, M-estimation) have been proposed in the literature; see Hahn and Newey (2004), Woutersen (2002), Arellano and Hahn (2005), Bester and Hansen (2009), Arellano and Bonhomme (2009) and Dhaene and Jochmans (2009), to name only a few.”
Fitting Vast Dimensional Time-Varying Covariance Models (2020, background): “Hahn and Kuersteiner (2011), Hahn and Newey (2004), Carro (2007), Arellano and Bonhomme (2009), Bester and Hansen (2009), Fernández-Val (2009), Dhaene and Jochmans (2011) and Pakel (2014).”
Minimizing Sensitivity to Model Misspecification (2018, methodology): “In Appendix D we compare the integrated worst-case mean squared error (16) of δ̂ MMSE to that of any estimator δ̂ satisfying (2) for a suitable h function for which (3) and (4)-(5) hold.”
Hyperbolic Transformation and Average Elasticity in the Framework of the Fixed Effects Logit Model (2011, methodology): “Various approaches are proposed in line with the bias-adjustment: Hahn and Newey (2004) [8], Cox and Reid (1987) [9], Lancaster (2002) [10], Arellano (2003) [11], Arellano and Bonhomme (2009) [12], Carro (2007) [13], Fernández-Val (2009) [14], Severini (1998) [15], Pace and Salvan (2006) [16], Beste”
Bias and consistency in three-way gravity models (2019, background): “Other examples include Phillips and Moon (1999), Hahn and Kuersteiner (2002), Lancaster (2002), Woutersen (2002), Alvarez and Arellano (2003), Carro (2007), Arellano and Bonhomme (2009), Fernández-Val and Vella (2011), and Kato, F. Galvao Jr., and Montes-Rojas (2012).”