The DOI matches its Crossref record; 90 of the 90 references it cites were found in a registry or an index.
Split-panel Jackknife Estimation of Fixed-effect Models
Open accessAbstract
Maximum-likelihood estimation of nonlinear models with fixed effects is subject to the incidental-parameter problem. This typically implies that point estimates suffer from large bias and confidence intervals have poor coverage. This article presents a jackknife method to reduce this bias and to obtain confidence intervals that are correctly centred under rectangular-array asymptotics. The method is explicitly designed to handle dynamics in the data, and yields estimators that are straightforward to implement and can be readily applied to a range of models and estimands. We provide distribution theory for estimators of model parameters and average effects, present validity tests for the jackknife, and consider extensions to higher-order bias correction and to two-step estimation problems. An empirical illustration relating to female labour-force participation is also provided.
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Cited by
A homogeneous approach to testing for Granger non-causality in heterogeneous panels
Juodis, A., Karavias, Y., & Sarafidis, V. (2021) · Empirical Economics · doi:10.1007/s00181-020-01970-9 · Cited by 487
(2016) · doi:10.1016/j.jeconom.2015.12.014 · Cited by 319
Bias and consistency in three-way gravity models
Weidner, M., & Zylkin, T. (2021) · Journal of International Economics · doi:10.1016/j.jinteco.2021.103513 · Cited by 201
Leave‐Out Estimation of Variance Components
Kline, P., Saggio, R., & Sølvsten, M. (2020) · Econometrica · doi:10.3982/ecta16410 · Cited by 186
Metadata
- Authors
- Dhaene, G., & Jochmans, K.
- Venue
- The Review of Economic Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2015-02-12
- Volume
- 82
- Issue
- 3
- Pages
- 991-1030
- ISSN
- 0034-6527 (ISSN-L)
- 1467-937X
- OpenAlex
- W2131437921
- Cited by
- 417
- References
- 90
- FWCI
- 44.05
- Type
- journal article
- Language
- en
- Open access
- green
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