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Estimation and inference in dynamic nonlinear fixed effects panel data models by projection
Id:2485
Date:20190709
Status:
ClickTimes:
作者
Andrew Adrian Pua
正文
I develop a bias reduction method for the estimators of structural parameters of a panel data model (whether linear or nonlinear) using a projection argument. A corrected score is calculated by projecting the score vector for the structural parameters onto the orthogonal complement of a space characterized by incidental parameter fluctuations.
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