Integrated likelihood based inference for nonlinear panel data models with unobserved effects

Martin Schumann, Thomas A. Severini, Gautam Tripathi*

*Corresponding author for this work

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Abstract

We propose a new integrated likelihood based approach for estimating panel data models when the unobserved individual effects enter the model nonlinearly. Unlike existing integrated likelihoods in the literature, the one we propose is closer to a genuine likelihood. Although the statistical theory for the proposed estimator is developed in an asymptotic setting where the number of individuals and the number of time periods both approach infinity, results from a simulation study suggest that our methodology can work very well even in moderately sized panels of short duration in both static and dynamic models.
Original languageEnglish
Pages (from-to)73-95
Number of pages23
JournalJournal of Econometrics
Volume223
Issue number1
DOIs
Publication statusPublished - 1 Jul 2021

JEL classifications

  • c23 - "Single Equation Models; Single Variables: Models with Panel Data; Longitudinal Data; Spatial Time Series"

Keywords

  • Fixed effects
  • Integrated likelihood
  • Nonlinear models
  • Panel data
  • DYNAMIC-MODELS
  • INCIDENTAL PARAMETER PROBLEM
  • BIAS REDUCTION

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