Split-panel jackknife estimation of fixed-effect models
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Authors
Dhaene, G
Jochmans, K
Publication Date
2015Journal Title
Review of Economic Studies
ISSN
0034-6527
Publisher
Oxford University Press (OUP)
Volume
82
Issue
3
Pages
991-1030
Type
Article
This Version
AM
Metadata
Show full item recordCitation
Dhaene, G., & Jochmans, K. (2015). Split-panel jackknife estimation of fixed-effect models. Review of Economic Studies, 82 (3), 991-1030. https://doi.org/10.1093/restud/rdv007
Abstract
© The Author 2015. Maximum-likelihood estimation of nonlinear models with fixed effects is subject to the incidentalparameter problem. This typically implies that point estimates suffer from large bias and confidence intervals have poor coverage. This article presents a jackknife method to reduce this bias and to obtain confidence intervals that are correctly centred under rectangular-array asymptotics.The method is explicitly designed to handle dynamics in the data, and yields estimators that are straightforward to implement and can be readily applied to a range of models and estimands. We provide distribution theory for estimators of model parameters and average effects, present validity tests for the jackknife, and consider extensions to higher-order bias correction and to two-step estimation problems. An empirical illustration relating to female labour-force participation is also provided.
Identifiers
External DOI: https://doi.org/10.1093/restud/rdv007
This record's URL: https://www.repository.cam.ac.uk/handle/1810/292427
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