Hostname: page-component-89b8bd64d-ksp62 Total loading time: 0 Render date: 2026-05-12T08:17:32.265Z Has data issue: false hasContentIssue false
  • English
  • Français

TIME-INVARIANT REGRESSOR IN NONLINEAR PANEL MODEL WITH FIXED EFFECTS

Published online by Cambridge University Press:  31 March 2005

Jinyong Hahn  and
Juergen Meinecke
Jinyong Hahn
Affiliation:
UCLA
Juergen Meinecke
Affiliation:
UCLA
Get access Rights & Permissions [Opens in a new window]

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.

Information

Type
MISCELLANEA
Information
Econometric Theory , Volume 21 , Issue 2 , April 2005 , pp. 455 - 469
Copyright
© 2005 Cambridge University Press

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Article purchase

Temporarily unavailable

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.