Estimating Nonlinear Models with Multiple Fixed Effects: A Computational Note

In this paper we consider estimation of nonlinear panel data models that include multiple individual fixed effects. Estimation of these models is complicated both by the difficulty of estimating models with possibly thousands of coefficients and also by the incidental parameters problem; that is, no...

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Bibliographic details
Volume: 74
Main Author: Hospido, Laura
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: Oxford, UK Blackwell Publishing Ltd 01.10.2012
WILEY
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published in: Oxford bulletin of economics and statistics Vol. 74; no. 5; pp. 760 - 775
Data of publication: October 2012
ISSN: 0305-9049
1468-0084
EISSN: 1468-0084
Discipline: Economics
Statistics
Mathematics
Bibliography: This paper started in collaboration with Manuel Arellano, whose suggestions and encouragement are gratefully acknowledged. I would also like to thank Stéphane Bonhomme, two anonymous referees, the editor of the paper and seminar participants at the SAEe in Granada, the 15th International Conference on Panel Data in Bonn and the EEA‐ESEM meetings in Barcelona, for useful suggestions. All errors are mine. The views in this paper are those of the author and do not represent the views of the Bank of Spain or the Eurosystem.
Subjects:
C63
C23
Online Access: available in Bonn?
Database: Social Sciences Citation Index
Web of Science - Science Citation Index Expanded - 2012
Web of Science - Social Sciences Citation Index - 2012
Web of Knowledge
Science Citation Index Expanded
Web of Science
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