Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

Profile-score Adjustements for Nonlinearfixed-effect Models

Abstract : Maximum-likelihood estimates of nonlinear panel data models with fixed effects are generally not consistent as the number of units, N, grows large while the number of time periods, T, stays fixed. The inconsistency can be viewed as a consequence of the bias of the score function, where the unit-specific parameters have been profiled out. We investigate ways of adjusting the profile score so as to make it unbiased or approximately unbiased. This leads to estimators, solving an adjusted profile score equation, that are fixed-T consistent or have less asymptotic bias, as T ! 1, than maximum likelihood. One approach to adjusting the profile score is to subtract its bias, evaluated at maximum- likelihood estimates of the fixed effects. When this bias does not depend on the incidental parameters, the adjustment is exact. Otherwise, it does not eliminate the bias entirely but reduces its order (in T), and it can be iterated, reducing the bias order further. We examine a range of nonlinear models with additive fixed effects. In many of these, an exact bias adjustment of the profile score is possible. In others, suitably adjusted profile scores exhibit much less bias than without the adjustment, even for very small T.
Document type :
Preprints, Working Papers, ...
Complete list of metadata

Cited literature [32 references]  Display  Hide  Download

https://hal-sciencespo.archives-ouvertes.fr/hal-01073733
Contributor : Spire Sciences Po Institutional Repository Connect in order to contact the contributor
Submitted on : Friday, October 10, 2014 - 12:32:07 PM
Last modification on : Tuesday, March 22, 2022 - 3:34:49 AM
Long-term archiving on: : Sunday, January 11, 2015 - 10:50:59 AM

File

profile-score3.pdf
Files produced by the author(s)

Identifiers

Collections

Citation

Geert Dhaene, Koen Jochmans. Profile-score Adjustements for Nonlinearfixed-effect Models. 2011. ⟨hal-01073733⟩

Share

Metrics

Record views

66

Files downloads

138