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Second-order corrected likelihood for nonlinear panel models with fixed effects
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DOI：10.1016/j.jeconom.2020.04.001.png)
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Abstract
En 中文
We propose a second-order correction for nonlinear fixed-effect panel models. The correction is made via the log-likelihood function. It removes the two leading terms of the bias of the log-likelihood that arises from estimating the fixed effects. Maximizing the corrected likelihood gives a second-order bias-corrected estimator, with bias O (T-3), where T is the number of time periods. The corrected likelihood also gives secondorder corrected test statistics. The correction applies to general nonlinear fixed-effect models with independent observations. The bias correction properties are confirmed in simulations for binary-choice models. (c) 2020 Elsevier B.V. All rights reserved.
Keywords:
Nonlinear panel data models
Fixed effects
Incidental parameter problem
Bias correction
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