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具有多维异质性的动态非线性面板模型的去偏推断AI 解读

Summary: We introduce a generic class of dynamic nonlinear heterogeneous parameter models that incorporate individual and time fixed effects in both the intercept and slope. These models are subject to the incidental parameter problem, in that the limiting distribution of the point estimator is not centred at zero, and test statistics do not follow their standard asymptotic distributions as in the absence of the fixed effects. To address the problem, we develop an analytical…

非线性固定效应面板模型的二阶似然修正AI 解读

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…