메뉴 건너뛰기




Volumn 77, Issue 2, 2009, Pages 489-536

Robust priors in nonlinear panel data models

Author keywords

Bias reduction; Incidental parameters; Integrated likelihood; Panel data; Priors

Indexed keywords


EID: 61849111088     PISSN: 00129682     EISSN: 14680262     Source Type: Journal    
DOI: 10.3982/ECTA6895     Document Type: Article
Times cited : (81)

References (43)
  • 1
    • 0141718495 scopus 로고    scopus 로고
    • The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
    • and
    • Alvarez, J., and M. Arellano (2003 The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators Econometrica, 71, 1121 1159.
    • (2003) Econometrica , vol.71 , pp. 1121-1159
    • Alvarez, J.1    Arellano, M.2
  • 3
    • 34547716434 scopus 로고    scopus 로고
    • Discrete Choices with Panel Data
    • Arellano, M. (2003 Discrete Choices With Panel Data Investigaciones Económicas, 27, 423 458.
    • (2003) Investigaciones Económicas , vol.27 , pp. 423-458
    • Arellano, M.1
  • 4
    • 84881844837 scopus 로고
    • Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
    • and
    • Arellano, M., and S. R. Bond (1991 Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations Review of Economic Studies, 58, 277 297.
    • (1991) Review of Economic Studies , vol.58 , pp. 277-297
    • Arellano, M.1    Bond, S.R.2
  • 5
    • 61849159645 scopus 로고    scopus 로고
    • and. Econometrica Supplemental Material, http://econometricsociety.org/ ecta/Supmat/6895-programs.zip
    • Arellano, M., and S. R. Bonhomme (2009 Supplement to 'Robust Priors in Nonlinear Panel Data Models' Econometrica Supplemental Material, 77, http://econometricsociety.org/ecta/Supmat/6895-Proofs.pdf http:// econometricsociety.org/ecta/Supmat/6895-programs.zip.
    • (2009) Supplement to 'Robust Priors in Nonlinear Panel Data Models' , vol.77
    • Arellano, M.1    Bonhomme, S.R.2
  • 7
    • 61849149718 scopus 로고    scopus 로고
    • Understanding Bias in Nonlinear Panel Models: Some Recent Developments
    • and. in. ed. by. R. Blundell, W. Newey. and. T. Persson. Cambridge, U.K.: Cambridge University Press.
    • Arellano, M., and J. Hahn (2007 Understanding Bias in Nonlinear Panel Models: Some Recent Developments in Advances in Economics and Econometrics, Ninth World Congress, Vol. 3, ed. by R. Blundell, W. Newey and T. Persson. Cambridge, U.K. : Cambridge University Press.
    • (2007) Advances in Economics and Econometrics, Ninth World Congress , vol.3
    • Arellano, M.1    Hahn, J.2
  • 8
    • 70350096075 scopus 로고    scopus 로고
    • Panel Data Models: Some Recent Developments
    • and. in. ed. by. J. Heckman. and. E. Leamer. Amsterdam: North
    • Arellano, M., and B. Honoré (2001 Panel Data Models: Some Recent Developments in Handbook of Econometrics, Vol. 5, ed. by J. Heckman and E. Leamer. Amsterdam : North-Holland.
    • (2001) Handbook of Econometrics , vol.5
    • Arellano, M.1    Honoré, B.2
  • 9
    • 0000881864 scopus 로고
    • Alternative Approximations to the Distributions of Instrumental Variable Estimators
    • Bekker, P. A. (1994 Alternative Approximations to the Distributions of Instrumental Variable Estimators Econometrica, 62, 657 681.
    • (1994) Econometrica , vol.62 , pp. 657-681
    • Bekker, P.A.1
  • 10
    • 0002464001 scopus 로고    scopus 로고
    • Integrated Likelihood Methods for Eliminating Nuisance Parameters
    • and
    • Berger, J., B. Liseo, and R. L. Wolpert (1999 Integrated Likelihood Methods for Eliminating Nuisance Parameters Statistical Science, 14, 1 22.
    • (1999) Statistical Science , vol.14 , pp. 1-22
    • Berger, J.1    Liseo, B.2    Wolpert, R.L.3
  • 13
    • 34547666954 scopus 로고    scopus 로고
    • Estimating Dynamic Panel Data Discrete Choice Models with Fixed Effects
    • Carro, J. (2007 Estimating Dynamic Panel Data Discrete Choice Models With Fixed Effects Journal of Econometrics, 127, 503 528.
    • (2007) Journal of Econometrics , vol.127 , pp. 503-528
    • Carro, J.1
  • 14
    • 84862686880 scopus 로고
    • Analysis of Covariance with Qualitative Data
    • Chamberlain, G. (1980 Analysis of Covariance With Qualitative Data Review of Economic Studies, 47, 225 238.
    • (1980) Review of Economic Studies , vol.47 , pp. 225-238
    • Chamberlain, G.1
  • 15
    • 0001337803 scopus 로고
    • Panel Data
    • in. ed. by. Z. Griliches. and. M. D. Intriligator. Amsterdam: Elsevier Science.
    • Chamberlain, G. (1984 Panel Data in Handbook of Econometrics, Vol. 2, ed. by Z. Griliches and M. D. Intriligator. Amsterdam : Elsevier Science.
    • (1984) Handbook of Econometrics , vol.2
    • Chamberlain, G.1
  • 16
    • 1642393955 scopus 로고    scopus 로고
    • Random Effects Estimators with Many Instrumental Variables
    • and
    • Chamberlain, G., and G. Imbens (2004 Random Effects Estimators With Many Instrumental Variables Econometrica, 72, 295 306.
    • (2004) Econometrica , vol.72 , pp. 295-306
    • Chamberlain, G.1    Imbens, G.2
  • 17
    • 61849117175 scopus 로고    scopus 로고
    • Decision Theory Applied to a Linear Panel Data Model
    • and. forthcoming).
    • Chamberlain, G., and M. Moreira (2008 Decision Theory Applied to a Linear Panel Data Model Econometrica (forthcoming).
    • (2008) Econometrica
    • Chamberlain, G.1    Moreira, M.2
  • 18
    • 0347354945 scopus 로고    scopus 로고
    • An MCMC Approach to Classical Estimation
    • and
    • Chernozhukov, V., and H. Hong (2003 An MCMC Approach to Classical Estimation Journal of Econometrics, 115, 293 346.
    • (2003) Journal of Econometrics , vol.115 , pp. 293-346
    • Chernozhukov, V.1    Hong, H.2
  • 19
    • 2542473258 scopus 로고    scopus 로고
    • Asymptotic Distribution of Misspecified Random Effects Estimator for a Dynamic Panel Model with Fixed Effects When Both n and T Are Large
    • and
    • Cho, M. H., J. Hahn, and G. Kuersteiner (2004 Asymptotic Distribution of Misspecified Random Effects Estimator for a Dynamic Panel Model With Fixed Effects When Both n and T Are Large Economics Letters, 84, 117 125.
    • (2004) Economics Letters , vol.84 , pp. 117-125
    • Cho, M.H.1    Hahn, J.2    Kuersteiner, G.3
  • 20
    • 0002738159 scopus 로고
    • Parameter Orthogonality and Approximate Conditional Inference
    • and. with Discussion
    • Cox, D. R., and N. Reid (1987 Parameter Orthogonality and Approximate Conditional Inference with Discussion Journal of the Royal Statistical Society, Series B, 49, 1 39.
    • (1987) Journal of the Royal Statistical Society, Series B , vol.49 , pp. 1-39
    • Cox, D.R.1    Reid, N.2
  • 23
    • 0035470893 scopus 로고    scopus 로고
    • Rates of Convergence for Bayes and Maximum Likelihood Estimation for Mixture of Normal Densities
    • and
    • Ghosal, S., and A. W. van der Vaart (2001 Rates of Convergence for Bayes and Maximum Likelihood Estimation for Mixture of Normal Densities Annals of Statistics, 29, 1233 1263.
    • (2001) Annals of Statistics , vol.29 , pp. 1233-1263
    • Ghosal, S.1    Van Der Vaart, A.W.2
  • 24
    • 33751526418 scopus 로고    scopus 로고
    • Posterior Convergence Rates of Dirichlet Mixtures of Normal Distributions at Smooth Densities
    • and
    • Ghosal, S., and A. W. van der Vaart (2007 Posterior Convergence Rates of Dirichlet Mixtures of Normal Distributions at Smooth Densities Annals of Statistics, 35, 697 723.
    • (2007) Annals of Statistics , vol.35 , pp. 697-723
    • Ghosal, S.1    Van Der Vaart, A.W.2
  • 27
    • 0346973008 scopus 로고    scopus 로고
    • Does Jeffrey's Prior Alleviate the Incidental Parameter Problem?
    • Hahn, J. (2004 Does Jeffrey's Prior Alleviate the Incidental Parameter Problem? Economics Letters, 82, 135 138.
    • (2004) Economics Letters , vol.82 , pp. 135-138
    • Hahn, J.1
  • 29
    • 3142718410 scopus 로고    scopus 로고
    • Jackknife and Analytical Bias Reduction for Nonlinear Panel Models
    • and
    • Hahn, J., and W. K. Newey (2004 Jackknife and Analytical Bias Reduction for Nonlinear Panel Models Econometrica, 72, 1295 1319.
    • (2004) Econometrica , vol.72 , pp. 1295-1319
    • Hahn, J.1    Newey, W.K.2
  • 33
    • 0001099021 scopus 로고    scopus 로고
    • The Incidental Parameter Problem since 1948
    • Lancaster, T. (2000 The Incidental Parameter Problem Since 1948 Journal of Econometrics, 95, 391 413.
    • (2000) Journal of Econometrics , vol.95 , pp. 391-413
    • Lancaster, T.1
  • 34
    • 0036655505 scopus 로고    scopus 로고
    • Orthogonal Parameters and Panel Data
    • Lancaster, T. (2002 Orthogonal Parameters and Panel Data Review of Economic Studies, 69, 647 666.
    • (2002) Review of Economic Studies , vol.69 , pp. 647-666
    • Lancaster, T.1
  • 35
    • 0001831031 scopus 로고
    • Consistent Estimates Based on Partially Consistent Observations
    • and
    • Neyman, J., and E. L. Scott (1948 Consistent Estimates Based on Partially Consistent Observations Econometrica, 16, 1 32.
    • (1948) Econometrica , vol.16 , pp. 1-32
    • Neyman, J.1    Scott, E.L.2
  • 36
    • 33745010251 scopus 로고    scopus 로고
    • Adjustments of the Profile Likelihood from a New Perspective
    • and
    • Pace, L., and A. Salvan (2006 Adjustments of the Profile Likelihood From a New Perspective Journal of Statistical Planning and Inference, 136, 3554 3564.
    • (2006) Journal of Statistical Planning and Inference , vol.136 , pp. 3554-3564
    • Pace, L.1    Salvan, A.2
  • 37
    • 0033437255 scopus 로고    scopus 로고
    • On the Relationship between Bayesian and Non-Bayesian Elimination of Nuisance Parameters
    • Severini, T. A. (1999 On the Relationship Between Bayesian and Non-Bayesian Elimination of Nuisance Parameters Statistica Sinica, 9, 713 724.
    • (1999) Statistica Sinica , vol.9 , pp. 713-724
    • Severini, T.A.1
  • 40
    • 0001560641 scopus 로고
    • Fully Exponential Laplace Approximations to Expectations and Variances of Nonpositive Functions
    • and
    • Tierney, L., R. E. Kass, and J. B. Kadane (1989 Fully Exponential Laplace Approximations to Expectations and Variances of Nonpositive Functions Journal of the American Statistical Association, 84, 710 716.
    • (1989) Journal of the American Statistical Association , vol.84 , pp. 710-716
    • Tierney, L.1    Kass, R.E.2    Kadane, J.B.3
  • 41
    • 0034360396 scopus 로고    scopus 로고
    • Asymptotic Inference for Mixture Models Using Data-Dependent Priors
    • Wasserman, L. (2000 Asymptotic Inference for Mixture Models Using Data-Dependent Priors Journal of the Royal Statistical Society, Series B, 62, 159 180.
    • (2000) Journal of the Royal Statistical Society, Series B , vol.62 , pp. 159-180
    • Wasserman, L.1
  • 42
    • 21844517288 scopus 로고
    • Probability Inequalities for Likelihood Ratios and Convergence Rates of Sieve MLEs
    • and
    • Wong, W. H., and X. Shen (1995 Probability Inequalities for Likelihood Ratios and Convergence Rates of Sieve MLEs Annals of Statistics, 23, 339 362.
    • (1995) Annals of Statistics , vol.23 , pp. 339-362
    • Wong, W.H.1    Shen, X.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.