Incidental Parameters Problem: The Case of Gompertz Model
Asian Journal of Probability and Statistics,
Page 8-14
DOI:
10.9734/ajpas/2021/v15i130344
Abstract
The order of bias of the fixed effects gompertz model is studied, using Monte Carlo approach. Performance criteria are bias and root mean squared errors. For fixed N, bias is found to decrease steadily between T=5 and T=20 but exhibits a mixture of increase and decline afterwards. At each value of T involved, bias steadily decreases with increased value of N. Bias is found to be at most 123%, due to the combination of minimum of each of N and T involved. Decrease in order of bias is found to be more definite with increased N at fixed T than with increased T at fixed N.
Keywords:
- Bias
- binary
- fixed effects
- inconsistency
- maximum likelihood
How to Cite
References
Hsiao C. Analysis of Panel Data. 2nd ed. Cambridge: Cambridge University Press; 2003.
Greene, W.H. Econometric Analysis 5th ed.New Jersey: Prentice Hall; 2003.
Neyman J. Scott, E.L. Consistent estimates based on partially consistent observations. Econometrica. 1948;16:1-32.
Lancaster T. The incidental parameters problem since 1948.Journal of Econometrics. 2000;95:391-413.
Chamberlain G. Analysis of covariance with qualitative data. Review of Economic Studies. 1980;47:225-238.
Heckman JJ. Statistical models for discrete data, in Hsiao, C. Analysis of Panel Data 2nd ed. Cambridge: Cambridge University Press; 2003,1981a.
Heckman JJ. The incidental parameters problem and the problem of initial conditions in estimating a discrete time-series data stochastic process, in Hsiao; 1981b,2003.
Greene WH. The behaviour of the maximum likelihood estimator of limited dependent variables models in the presence of fixed effects.2004aEconometrics Journal. 2004a;7:98-119.
Greene WH. Fixed effects bias due to incidental parameters problem in Tobit model. Econometric Reviews. 2004b;23(2):125-147.
Moreira MJ. A maximum likelihood method for the incidental parameter problem. Annals of Statistics. 2009;37(6A):3660-3696.
Hahn J, Kuersteiner,G. Bias reduction for dynamic non-linear panel models with fixed effects. Econometric Theory. 2011;27(6):1152-1191.
Moon HR, Perron B, Philips PCB. Incidental parameters problem and dynamic panel data modeling.(Cowles Foundation Paper No. 1487); 2015.
Available:Korora.econ.yale.edu/philips/pubs/art/p1487.pdf
Femendez-Val I, Weidner M. Individualand time effects in nonlinear panels with large N, T. Journal of Econometrics. 2016;192(1):291-312.
Moon HR, Wedner M. Dynamic linear panel data regression models with interactive fixed effects. Econometric Theory. 2017;33:158-195.
Boneva l, Linton O. A Discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance. Journal of Applied Econometrics. 2017;32:1226–1243.
Juodis A. Pseudo panel data models with cohort interactive effects. Journal of Business & Economic Statistics. 2018;36:77-61.
Nerlove, M. Further evidence on the estimation of dynamic economic relations from a time series of cross sections.Econometrica. 1971;39:383-396.
-
Abstract View: 374 times
PDF Download: 150 times
