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Fixed effects estimators of panel models can be severely biased because of the well-known incidental parameters problem. We show that this bias can be reduced by using a panel jackknife or an analytical bias correction motivated by large T. We give bias corrections for averages over the fixed effects, as well as model parameters. We find large bias reductions from using these approaches in examples. We consider asymptotics where T grows with n, as an approximation to the…

This paper develops a new methodology that makes use of the factor structure of large dimensional panels to understand the nature of nonstationarity in the data. We refer to it as PANIC-Panel Analysis of Nonstationarity in Idiosyncratic and Common components. PANIC can detect whether the nonstationarity in a series is pervasive, or variable-specific, or both. It can determine the number of independent stochastic trends driving the common factors. PANIC also permits valid…

最低工资AI 解读

Do moderate increases in the minimum wage reduce employment? If not, do they nevertheless raise wages? To examine these questions, we apply techniques of time series analysis and systems estimation that are commonly used in macroeconomics and finance to five panels of data that contain between 11 and 34 low-wage industries. Our answers are “No” and “Yes,” respectively. We find that increases in the federal minimum wage between 1947 and 1997 have raised average wages in many…

德国企业相关服务业公司的绩效表现AI 解读

We analyze the performance of firms from the German business-related service sector for 1994–2000. Performance is measured by ordinal assessment of changes in total sales. We estimate first-order Markov chain models using extensions of the multinomial logit model: a linear index model with alternative specifications of heterogeneity and a semiparametric model. The preferred specification involves heterogeneity connected to the firm and the type of transition. Our findings…

医疗改革与就诊次数：一项计量分析AI 解读

Abstract This paper evaluates the German health care reform of 1997, using the individual number of doctor visits as outcome measure and data from the German Socio‐Economic Panel for the years 1995–1999. A number of modified count data models allow us to estimate the effect of the reform in different parts of the distribution. The overall effect of the reform was a 10% reduction in the number of doctor visits. The effect was much larger in the lower part of the distribution…

英国家庭面板调查中的健康动态AI 解读

Abstract This paper considers the dynamics of a categorical indicator of self‐assessed health using eight waves (1991–1998) of the British Household Panel Survey (BHPS). Our analysis has three focal points: the relative contributions of state dependence and heterogeneity in explaining the dynamics of health, the existence and consequences of health‐related sample attrition, and the investigation of the effects of measures of socioeconomic status, with a particular focus on…

病例对照研究中的纵向数据分析AI 解读

Case‐control studies for longitudinal data are considered. Among repeated binary measurements of disease status in each subject, the exposure levels of risk factors for all diseased cases are identified and the exposure levels for only a small fraction of disease‐free cases, to be regarded as controls, are identified. Case‐control studies for longitudinal data bring about economies in cost and time when the disease is rare and when assessing the exposure level of risk…

We study the profile‐kernel and backfitting methods in partially linear models for clustered/longitudinal data. For independent data, despite the potential root‐n inconsistency of the backfitting estimator noted by Rice (1986), the two estimators have the same asymptotic variance matrix, as shown by Opsomer & Ruppert (1999). In this paper, theoretical comparisons of the two estimators for multivariate responses are investigated. We show that, for correlated data, backfitting…

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Is individual labor income more risky in recessions? This is a difficult question to answer because existing panel data sets are so short. To address this problem, we develop a generalized method of moments estimator that conditions on the macroeconomic history that each member of the panel has experienced. Variation in the cross‐sectional variance between households with differing macroeconomic histories allows us to incorporate business cycle information dating back to…

The partially linear model Y = XTβ + ν(Z) + ϵ has been studied extensively when data are completely observed. In this article, we consider the case where the covariate X is sometimes missing, with missingness probability π depending on (Y, Z). New methods are developed for estimating β and ν(·). Our methods are shown to outperform asymptotically methods based only on the complete data. Asymptotic efficiency is discussed, and the semiparametric efficient score function is…

面板协整：合并时间序列检验的渐近与有限样本性质及购买力平价应用AI 解读

We examine properties of residual-based tests for the null of no cointegration for dynamic panels in which both the short-run dynamics and the long-run slope coefficients are permitted to be heterogeneous across individual members of the panel. The tests also allow for individual heterogeneous fixed effects and trend terms, and we consider both pooled within dimension tests and group mean between dimension tests. We derive limiting distributions for these and show that they…

利用加速重要性采样器模拟估计动态离散选择面板模型AI 解读

With long time series for dynamic discrete choice panel models, the Geweke--Hajivassiliou--Keane sampler has been observed to have large biases and root-mean-square errors. The Richard--Zhang accelerated importance sampler is extended for the simulation estimation of such models. It is demonstrated to be adequate and can improve upon the Geweke--Hajivassiliou--Keane sampler for lengthy time-series panels by Monte Carlo means. Empirical applications of the proposed method on…

The nonlinear fixed-effects model has two shortcomings, one practical and one methodological. The practical obstacle relates to the difficulty of computing the MLE of the coefficients of non-linear models with possibly thousands of dummy variable coefficients. In fact, in many models of interest to practitioners, computing the MLE of the parameters of fixed effects model is feasible even in panels with very large numbers of groups. The result, though not new, appears not to…

单变量存在不可忽略无应答时对数线性模型的区间估计AI 解读

Summary Log-linear models for multiway contingency tables where one variable is subject to non-ignorable non-response will often yield boundary solutions, with the probability of non-respondents being classified in some cells of the table estimated as 0. The paper considers the effect of this non-standard behaviour on two methods of interval estimation based on the distribution of the maximum likelihood estimator. The first method relies on the estimator being approximately…

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经验预测量的均方误差AI 解读

The term “empirical predictor” refers to a two-stage predictor of a linear combination of fixed and random effects. In the first stage, a predictor is obtained but it involves unknown parameters; thus, in the second stage, the unknown parameters are replaced by their estimators. In this paper, we consider mean squared errors (MSE) of empirical predictors under a general setup, where ML or REML estimators are used for the second stage. We obtain second-order approximation to…

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聚类与纵向数据非参数回归中平滑样条的等价核AI 解读

For independent data, it is well known that kernel methods and spline methods are essentially asymptotically equivalent (Silverman, 1984). However, recent work of Welsh et al. (2002) shows that the same is not true for clustered/longitudinal data. Splines and conventional kernels are different in localness and ability to account for the within‐cluster correlation. We show that a smoothing spline estimator is asymptotically equivalent to a recently proposed seemingly…

带固定效应的面板比例风险模型的半参数估计AI 解读

This paper considers a panel duration model that has a proportional hazards specification with fixed effects. The paper shows how to estimate the baseline and integrated baseline hazard functions without assuming that they belong to known, finitedimensional families of functions. Existing estimators assume that the baseline hazard function belongs to a known parametric family. Therefore, the estimators presented here are more general than existing ones. This paper also…

用主分层评估部分受控的纵向处理：针具交换项目应用AI 解读

We consider studies for evaluating the short-term effect of a treatment of interest on a time-to-event outcome. The studies we consider are only partially controlled in the following sense: (1) Subjects' exposure to the treatment of interest can vary over time, but this exposure is not directly controlled by the study; (2) subjects' follow-up time is not directly controlled by the study; and (3) the study directly controls another factor that can affect subjects' exposure to…