AcademicsWorking Papers

Estimation and inference in dynamic nonlinear fixed effects panel data models by projection
Andrew Adrian Pua
2485 20190709 () Views:24145
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.