Split-panel jackknife estimation of fixed-effect models

Review of Economic Studies

Volumn 82, Issue 3, 2015, Pages 991-1030

  Dhaene, Geert ^a   Jochmans, Koen ^b  

^a UNIVERSITY OF LEUVEN   (Belgium)

^b SCIENCES PO   (France)

Author keywords

Bias reduction; Dependent data; Incidental parameter problem; Jackknife; Nonlinear model

Indexed keywords

EMPIRICAL ANALYSIS; ESTIMATION METHOD; LABOR PARTICIPATION; MAXIMUM LIKELIHOOD ANALYSIS; NONLINEARITY; NUMERICAL MODEL; WOMENS EMPLOYMENT;

EID: 84937426217     PISSN: 00346527     EISSN: 1467937X     Source Type: Journal    
DOI: 10.1093/restud/rdv007     Document Type: Article

References (79)

1. ALVAREZ, J. and ARELLANO, M. (2003), "The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators", Econometrica, 71, 1121-1159.
2. ALVAREZ, J. and ARELLANO, M. (2004), "Robust Likelihood Estimation of Dynamic Panel Data Models", (Working Paper No. 0421, CEMFI).
3. ARELLANO, M. (2003), "Discrete Choices with Panel Data", Investigaciones Económicas, 27, 423-458.
4. ARELLANO, M. and BOND, S. (1991), "Some Tests of Specification for Panel Data: Monte Carlo Evidence and An Application to Employment Equations", Review of Economic Studies, 58, 277-297.
5. ARELLANO, M. and BONHOMME, S. (2009), "Robust Priors in Nonlinear Panel Data Models", Econometrica, 77, 489-536.
6. ARELLANO, M. and BONHOMME, S. (2012), "Identifying Distributional Characteristics in Random Coefficients Panel Data Models", Review of Economic Studies, 79, 987-1020.
7. ARELLANO, M. and HAHN, J. (2006), "ALikelihood-Based Approximate Solution to the Incidental Parameter Problem in Dynamic Nonlinear Models with Multiple Effects", Unpublished manuscript.
8. ARELLANO, M. and HONORÉ, B. E. (2001), "Panel Data Models: Some Recent Developments", In Heckman J. J. and Leamer E. (eds), Handbook of Econometrics, vol. V, chapter 53, (Amsterdam: Elsevier) pp. 3229-3329.
9. BAI, J. (2009), "Panel Data Models with Interactive Fixed Effects", Econometrica, 77, 1229-1279.
10. BAI, J. (2013), "Fixed Effects Dynamic Panel Data Models, a Factor Analytical Method", Econometrica, 81, 285-314.
11. BAO,Y. and ULLAH,A. (2007), "The Second-order Bias and Mean Squared Error of Estimators in Time-series Models", Journal of Econometrics, 140, 650-669.
12. BECKER, G. S., GROSSMAN, M., and MURPHY, K. M. (1994), "An Empirical Analysis of Cigarette Addiction", American Economic Review, 84, 396-418.
13. BLONIGEN, B. A., DAVIES, R. B., WADDELL, G. R., and NAUGHTON, H. T. (2007), "FDI in Space: Spatial Autoregressive Relationships in Foreign Direct Investment", European Economic Review, 51, 1303-1325.
14. BLUNDELL,R.W. and POWELL,J. L. (2003), "Endogeneity in Nonparametric and Semiparametric Regression Models", in Dewatripont M., Hansen L. P. and Turnovsky S. J. (eds), Advances In Economics and Econometrics, vol. II. (Cambridge: Cambridge University Press, Econometric Society).
15. BROWNING, M. (1992), "Children and Household Economic Behaviour", Journal of Economic Literature, 30, 1434-1475.
16. BROWNING, M. and CARRO, J. M. (2007), "Heterogeneity and Microeconometrics Modeling", in Blundell R. W., Newey W. K. and Persson T. (eds), Advances In Economics and Econometrics, vol. III, chapter 3, (Cambridge: Cambridge University Press) pp. 47-74.
17. BROWNING, M., EJRNÆS, M., and ALVAREZ, J. (2010), "Modeling Income Processes with Lots of Heterogeneity", Review of Economic Studies, 77, 1353-1381.
18. BUN, M. J. G. and KIVIET, J. F. (2006), "The Effects of Dynamic Feedbacks on LS and MM Estimator Accuracy in Panel Data Models", Journal of Econometrics, 132, 409-444.
19. CARRO, J. M. (2007), "Estimating Dynamic Panel Data Discrete Choice Models with Fixed Effects", Journal of Econometrics, 140, 503-528.
20. CARRO, J. M. and TRAFERRI, A. (2012), "State Dependence and Heterogeneity in Health Using a Bias-corrected Fixed-effects Estimator", Journal of Applied Econometrics forthcoming.
21. CHAMBERLAIN, G. (1980), "Analysis of Covariance with Qualitative Data", Review of Economic Studies, 47, 225-238.
22. CHAMBERLAIN, G. (1984), "Panel Data", in Griliches Z. and Intriligator M. (eds), Handbook of Econometrics, vol. 2 of Handbook of Econometrics, chapter 22, (Amsterdam: Elsevier) pp. 1247-1315.
23. CHAMBERLAIN, G. (1985), "Heterogeneity, Omitted Variable Bias, and Duration Dependence", in Heckman J. J. and Singer B. (eds), Longitudinal Analysis of Labor Market Data, chapter 1, (Cambridge: Cambridge University Press) pp. 3-38.
24. CHAMBERLAIN, G. (2010), "Binary Response Models for Panel Data: Identification and Information", Econometrica, 78, 159-168.
25. CONTOYANNIS, P., JONES, A. M., and RICE, N. (2004), "The Dynamics of Health in the British Household Panel Survey", Journal of Applied Econometrics, 19, 473-503.
26. COX, D. R. and REID, N. (1987), "Parameter Orthogonality and Approximate Conditional Inference (With Discussion)", Journal of the Royal Statistical Society, Series B, 49, 1-39.
27. COX, D. R. and REID, N. (1993), A Note on the Calculation of Adjusted Profile Likelihood", Journal of the Royal Statistical Society, Series B, 55, 467-471.
28. de JONG, R. and WOUTERSEN, T. (2011), "Dynamic Time Series Binary Choice", Econometric Theory, 27, 673-702.
29. DHAENE, G. and JOCHMANS, K. (2013), "Likelihood Inference in an Autoregression with Fixed Effects", Econometric Theory, Forthcoming.
30. DONOHUE, J. J. and LEVITT, S. D. (2001), "The Impact of Legalized Abortion on Crime", Quarterly Journal of Economics, 116, 379-420.
31. EFRON, B. (1979), "Bootstrap Methods: Another Look at the Jackknife", The Annals of Statistics, 7, 1-26.
32. FERNÁNDEZ-Val, I. (2009), "Fixed Effects Estimation of Structural Parameters and Marginal Effects in Panel Probit Models", Journal of Econometrics, 150, 71-85.
33. FERNÁNDEZ-VAL, I. and LEE, J. (2013), "Panel Data Models with Nonadditive Unobserved Heterogeneity: Estimation and Inference", Quantitative Economics, 4, 453-481.
34. FERNÁNDEZ-VAL, I. and VELLA, F. (2011), Bias Corrections for Two-Step Fixed Effects Panel Data Estimators", Journal of Econometrics, 163, 144-162.
35. FERNÁNDEZ-VAL, I. and WEIDNER, M. (2013), Individual and Time Effects in Nonlinear Panel Data Models with Large N, T", Unpublished manuscript.
36. GALVAO, A. F. and KATO, K. (2014), "Estimation and Inference for Linear Panel Data Models Under Misspecification When Both n and t are Large", Journal of Business and Economic Statistics forthcoming.
37. GONÇALVES, S. and KAFFO, M. (2014), "Bootstrap Inference for Linear Dynamic Panel Data Models with Fixed Effects", Journal of Econometrics, forthcoming.
38. GOURIÉROUX, C., MONFORT, A., RENAULT, E., and TROGNON, A. (1987), "Generalised Residuals", Journal of Econometrics, 34, 5-32.
39. HADDAD, M. and HARRISON, A. E. (1993), "Positive Spillovers from Direct Foreign Investment? Evidence from Panel Data for Morocco", Journal of Development Economics, 42, 51-74.
40. HAHN, J. and KUERSTEINER, G. (2002), Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects When Both n and T are Large", Econometrica, 70, 1639-1657.
41. HAHN, J. and KUERSTEINER, G. (2010), "Stationarity and Mixing Properties of the Dynamic Tobit Model", Economics Letters, 107, 105-111.
42. HAHN, J. and KUERSTEINER, G. (2011), "Bias Reduction for Dynamic Nonlinear Panel Models with Fixed Effects", Econometric Theory, 27, 1152-1191.
43. HAHN, J. and NEWEY, W. K. (2004), "Jackknife and Analytical Bias Reduction for Nonlinear Panel Models", Econometrica, 72, 1295-1319.
44. HALL, B. H. (1978), "A General Framework for the Time Series-Cross Section Estimation", Annales de l'INSEE, 30/31, 177-202.
45. HALL, R. E. and MISHKIN, F. S. (1982), "The Sensitivity of Consumption to Transitory Income: Estimates from Panel Data on Households", Econometrica, 50, 461-481.
46. HAUSMAN, J. A., HALL, B. H., and GRILICHES, Z. (1984), "Econometric Models for Count Data with an Application to the Patents-R&D Relationship", Econometrica, 52, 909-938.
47. HECKMAN, J. J. (1978), "Dummy Endogenous Variables in a Simultaneous Equation System", Econometrica, 46, 931-959.
48. HECKMAN, J. J. (1981a), "Heterogeneity and State Dependence", in Rosen S. (ed), Studies in Labor Markets, chapter 3, (Chicago, IL: University of Chicago Press) pp. 91-139.
49. HECKMAN, J. J. (1981b), "The Incidental Parameters Problem and the Problem of Initial Conditions in Estimating a Discrete Time-Discrete Data Stochastic Process", in Manski C. F. and McFadden D. L. (eds), Structural Analysis of Discrete Data with Econometric Applications, chapter 4, (Cambridge, MA: MIT Press) pp. 179-195.
50. HECKMAN, J. J. (1981c), "Statistical Models for Discrete Panel Data", in Manski C. F. and McFadden D. L. (eds), Structural Analysis of Discrete Data with Econometric Applications. (Cambridge, MA: MIT Press) pp. 114-178.
51. HECKMAN,J. J. (1993), "What Has Heen LearnedAbout Labour Supply in the PastTwentyYears?", American Economic Review, 83, 116-121.
52. HECKMAN, J. J. and MaCURDY, T. E. (1980), "A Life Cycle Model of Female Labour Supply", Review of Economic Studies, 47, 47-74.
53. HECKMAN, J. J. and ROBB, R. (1985), "Alternative Methods for Evaluating the Impact of Interventions", in Heckman J. J. and Singer B. (eds), Longitudinal Analysis of Labor Market Data, chapter 4, (Cambridge: Cambridge University Press) pp. 156-245.
54. HOCH, I. (1962), "Estimation of Production Function Parameters Combining Time-series and Cross-section Data", Econometrica, 30, 34-53.
55. HONORÉ, B. E. and KYRIAZIDOU, E. (2000), "Panel Data Discrete Choice Models with Lagged DependentVariables", Econometrica, 68, 839-874.
56. HONORÉ, B. E. and TAMER, E. (2006), "Bounds on Parameters in Panel Dynamic Discrete Choice Models", Econometrica, 74, 611-629.
57. HOSPIDO, L. (2012), "Modelling Heterogeneity and Dynamics in theVolatility of IndividualWages", Journal of Applied Econometrics, 27, 386-414.
58. HYSLOP, D. R. (1999), "State Dependence, Serial Correlation and Heterogeneity in Intertemporal Labour Force Participation of MarriedWomen", Econometrica, 67, 1255-1294.
59. ISLAM, N. (1995), "Growth Empirics: A Panel Data Approach", Quarterly Journal of Economics, 110, 1127-1170.
60. JAVORCIK, B. S. (2004), "Does Foreign Direct Investment Increase the Productivity of Domestic Firms? In Search of Spillovers Through Backward Linkages", American Economic Review, 94, 605-627.
61. Kaffo, M. (2014), "Bootstrap Inference for Nonlinear Dynamic Panel Data Models with Fixed Effects", Unpublished manuscript.
62. KUH, E. (1959), "The Validity of Cross-Sectionally Estimated Behaviour Equations in Time Series Applications", Econometrica, 27, 197-214.
63. LANCASTER, T. (2002), "Orthogonal Parameters and Panel Data", Review of Economic Studies, 69, 647-666.
64. LI, H., LINDSAY, B., and WATERMAN, R. (2003), "Efficiency of Projected Score Methods in Rectangular Array Asymptotics", Journal of the Royal Statistical Society, Series B, 65, 191-208.
65. LILLARD, L. A. and WILLIS, R. J. (1978), "Dynamic Aspects of Earnings Mobility", Econometrica, 46, 985-1012.
66. MROZ, T. A. (1987), "The Sensitivity of an Empirical Model of Married Women's Hours of Work to Economic and Statistical Assumptions", Econometrica, 55, 765-799.
67. MUNDLAK, Y. (1961), "Empirical Production Function Free of Management Bias", Journal of Farm Economics, 43, 44-56.
68. MURPHY, K. M. and TOPEL, R. H. (1985), "Estimation and Inference in Two-Step Econometric Models", Journal of Business and Economic Statistics, 3, 370-379.
69. NEYMAN, J. and SCOTT, E. L. (1948), "Consistent Estimates Based on Partially Consistent Observations", Econometrica, 16, 1-32.
70. NICKELL, S. (1981), "Biases in Dynamic Models with Fixed Effects", Econometrica, 49, 1417-1426.
71. PFANZAGL, J. and WEFELMEYER, W. (1978), "A Third-order Optimum Property of the Maximum Likelihood Estimator", Journal of Multivariate Analysis, 8, 1-29.
72. QUENOUILLE, H. M. (1949), "Approximate Tests of Correlation in Time Series", Journal of the Royal Statistical Society, Series B, 11, 68-84.
73. QUENOUILLE, H. M. (1956), "Notes on Bias in Estimation", Biometrika, 43, 353-360.
74. RIVERS, D. and VUONG, Q. (1988), "Limited Information Estimators and Exogeneity Tests for Simultaneous Probit Models", Journal of Econometrics, 39, 347-366.
75. SARTORI, N. (2003), "Modified Profile Likelihood in Models with Stratum Nuisance Parameters", Biometrika, 90, 533-549.
76. SCHMIDT, P. and SICKLES, R. C. (1984), "Production Frontiers and Panel Data", Journal of Business and Economic Statistics, 2, 367-374.
77. SMITH, R. J. and BLUNDELL, R. W. (1986), "An Exogeneity Test for Simultaneous Equations Tobit Models with an Application to Labour Supply", Econometrica, 54, 679-686.
78. WOOLDRIDGE, J. M. (2005), "Simple Solutions to the Initial Conditions Problem in Dynamic, Nonlinear Panel Data Models with Unobserved Heterogeneity", Journal of Applied Econometrics, 20, 39-54.
79. WOUTERSEN, T. (2002), "Robustness Against Incidental Parameters", (Working Paper No. 20028, Department of Economics, University ofWestern Ontario).