Article contents
TIME-INVARIANT REGRESSOR IN NONLINEAR PANEL MODEL WITH FIXED EFFECTS
Published online by Cambridge University Press: 31 March 2005
Abstract
This paper generalizes the intuition of Hausman and Taylor (1981, Econometrica 49, 1377–1398) and develops a method of dealing with a time-invariant regressor in nonlinear panel models with fixed effects. We illustrate the usefulness of our result by discussing the implication for some nonlinear models of social interactions.We are grateful to Dan Ackerberg and Jerry Hausman for helpful comments. The first author gratefully acknowledges financial support from NSF grant SES-0313651.
- Type
- MISCELLANEA
- Information
- Copyright
- © 2005 Cambridge University Press
References
REFERENCES
Brock, W.A. &
S.N. Durlauf
(2001a)
Interactions-based models. In
J. Heckman &
E. Leamer (eds.),
Handbook of Econometrics,
vol. 5, pp.
3297–3380.
North-Holland.
Brock, W.A. &
S.N. Durlauf
(2001b)
Discrete choice with social interactions.
Review of Economic Studies
68,
235–260.Google Scholar
Graham, B.S. &
J. Hahn
(2003)
Identification and Estimation of the Linear-in-Means Model of Social
Interactions.
Manuscript,
UCLA.
Hahn, J. &
G. Kuersteiner
(2002)
Asymptotically unbiased inference for a dynamic panel model with
fixed effects when both n and T are large.
Econometrica
70,
1639–1657.Google Scholar
Hahn, J. &
G. Kuersteiner
(2003)
Bias Reduction for Dynamic Nonlinear Panel Models with Fixed
Effects.
Manuscript,
UCLA.
Hahn, J. &
W.K. Newey
(2004)
Jackknife and analytical bias reduction for nonlinear panel
models.
Econometrica
72,
1295–1319.Google Scholar
Hausman, J. &
W. Taylor
(1981)
Panel data and unobservable individual effects.
Econometrica
49,
1377–1398.Google Scholar
Lahiri, S.
(1992)
Edgeworth correction by moving block bootstrap for stationary and
nonstationary data. In
R. LePage &
L. Billard (eds.),
Exploring the Limits of Bootstrap, pp.
183–214.
Wiley.
Manski, C.
(1993)
Identification of endogenous social effects: The reflection
problem.
Review of Economic Studies
60,
531–542.Google Scholar
Woutersen, T.
(2002)
Robustness against Incidental Parameters.
Manuscript,
University of Western Ontario.
- 4
- Cited by