Second-order corrected likelihood for nonlinear panel models with fixed effects

A-Tier
Journal: Journal of Econometrics
Year: 2021
Volume: 220
Issue: 2
Pages: 227-252

Authors (2)

Dhaene, Geert (KU Leuven) Sun, Yutao (not in RePEc)

Score contribution per author:

2.018 = (α=2.02 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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 OT−3, where T is the number of time periods. The corrected likelihood also gives second-order 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.

Technical Details

RePEc Handle
repec:eee:econom:v:220:y:2021:i:2:p:227-252
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25