2012/06/13 by Iván Fernández‐Val, Fernandez-Val, Ivan, Joonhwah Lee +1 · 1 citation
Economics, Econometrics and Finance · #Applications (stat.AP) #Econometrics (econ.EM) #Economics of Agriculture and Food Markets #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #Methodology (stat.ME) #Monetary Policy and Economic Impact #Spatial and Panel Data Analysis #Statistics Theory (math.ST)
paper · pdf · doi:10.48550/arxiv.1206.2966
openalex publication_date 2012/06/13 · openalex created_date 2025/10/24 · openalex updated_date 2026/07/28
This paper considers fixed effects estimation and inference in linear and\nnonlinear panel data models with random coefficients and endogenous regressors.\nThe quantities of interest -- means, variances, and other moments of the random\ncoefficients -- are estimated by cross sectional sample moments of GMM\nestimators applied separately to the time series of each individual. To deal\nwith the incidental parameter problem introduced by the noise of the\nwithin-individual estimators in short panels, we develop bias corrections.\nThese corrections are based on higher-order asymptotic expansions of the GMM\nestimators and produce improved point and interval estimates in moderately long\npanels. Under asymptotic sequences where the cross sectional and time series\ndimensions of the panel pass to infinity at the same rate, the uncorrected\nestimator has an asymptotic bias of the same order as the asymptotic variance.\nThe bias corrections remove the bias without increasing variance. An empirical\nexample on cigarette demand based on Becker, Grossman and Murphy (1994) shows\nsignificant heterogeneity in the price effect across U.S. states.\n