PANEL DATA MODELS WITH FINITE NUMBER OF MULTIPLE EQUILIBRIA

B-Tier
Journal: Econometric Theory
Year: 2010
Volume: 26
Issue: 3
Pages: 863-881

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

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

Abstract

We study a nonlinear panel data model in which the fixed effects are assumed to have finite support. The fixed effects estimator is known to have the incidental parameters problem. We contribute to the literature by making a qualitative observation that the incidental parameters problem in this model may not be not as severe as in the conventional case. Because fixed effects have finite support, the probability of correctly identifying the fixed effect converges to one even when the cross sectional dimension grows as fast as some exponential function of the time dimension. As a consequence, the finite sample bias of the fixed effects estimator is expected to be small.

Technical Details

RePEc Handle
repec:cup:etheor:v:26:y:2010:i:03:p:863-881_99
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25