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Author : David W. Hughes
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (139 download)
Download or read book Estimating Nonlinear Network Data Models with Fixed Effects written by David W. Hughes and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : William H. Greene
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Behavior of the Fixed Effects Estimator in Nonlinear Models written by William H. Greene and published by . This book was released on 2008 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: The nonlinear fixed effects models in econometrics has often been avoided for two reasons one practical, one methodological. The practical obstacle relates to the difficulty of estimating nonlinear models with possibly thousands of coefficients. In fact, in a large number of models of interest to practitioners, estimation of the fixed effects model is feasible even in panels with very large numbers of groups. The more difficult, methodological question centers on the incidental parameters problem that raises questions about the statistical properties of the estimator. There is very little empirical evidence on the behavior of the fixed effects estimator. In this note, we use Monte Carlo methods to examine the small sample bias in the binary probit and logit models, the ordered probit model, the tobit model, the Poisson regression model for count data and the exponential regression model for a nonnegative random variable. We find three results of note: A widely accepted result that suggests that the probit estimator is actually relatively well behaved appears to be incorrect. Perhaps to some surprise, the tobit model, unlike the others, appears largely to be unaffected by the incidental parameters problem, save for a surprising result related to the disturbance variance estimator. Third, as apparently unexamined previously, the estimated asymptotic estimators for fixed effects estimators appear uniformly to be downward biased.
Author : Bryan Graham
Publisher : Academic Press
ISBN 13 : 0128117710
Total Pages : 244 pages
Book Rating : 4.1/5 (281 download)
Download or read book The Econometric Analysis of Network Data written by Bryan Graham and published by Academic Press. This book was released on 2020-06-03 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Econometric Analysis of Network Data serves as an entry point for advanced students, researchers, and data scientists seeking to perform effective analyses of networks, especially inference problems. It introduces the key results and ideas in an accessible, yet rigorous way. While a multi-contributor reference, the work is tightly focused and disciplined, providing latitude for varied specialties in one authorial voice. Answers both 'why' and 'how' questions in network analysis, bridging the gap between practice and theory allowing for the easier entry of novices into complex technical literature and computation Fully describes multiple worked examples from the literature and beyond, allowing empirical researchers and data scientists to quickly access the 'state of the art' versioned for their domain environment, saving them time and money Disciplined structure provides latitude for multiple sources of expertise while retaining an integrated and pedagogically focused authorial voice, ensuring smooth transition and easy progression for readers Fully supported by companion site code repository 40+ diagrams of 'networks in the wild' help visually summarize key points
Author : Mingli Chen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)
Download or read book Nonlinear Factor Models for Network and Panel Data written by Mingli Chen and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Factor structures or interactive effects are convenient devices to incorporate latent variables in panel data models. We consider fixed effect estimation of nonlinear panel single-index models with factor structures in the unobservables, which include logit, probit, ordered probit and Poisson specifications. We establish that fixed effect estimators of model parameters and average partial effects have normal distributions when the two dimensions of the panel grow large, but might suffer from incidental parameter bias. We show how models with factor structures can also be applied to capture important features of network data such as reciprocity, degree heterogeneity, homophily in latent variables and clustering. We illustrate this applicability with an empirical example to the estimation of a gravity equation of international trade between countries using a Poisson model with multiple factors.
Author : William H. Greene
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (129 download)
Download or read book Fixed and Random Effects in Nonlinear Models written by William H. Greene and published by . This book was released on 2008 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper surveys recently developed approaches to analyzing panel data with nonlinear models. We summarize a number of results on estimation of fixed and random effects models in nonlinear modelingframeworks such as discrete choice, count data, duration, censored data, sample selection, stochastic frontier and, generally, models that are nonlinear both in parameters and variables. We show thatnotwithstanding their methodological shortcomings, fixed effects are much more practical than heretofore reflected in the literature. For random effects models, we develop an extension of a random parametersmodel that has been used extensively, but only in the discrete choice literature. This model subsumes the random effects model, but is far more flexible and general, and overcomes some of the familiar shortcomings of the simple additive random effects model as usually formulated. Once again, the range of applications is extended beyond the familiar discrete choice setting. Finally, we draw together several strands of applications of a model that has taken a semiparametric approach to individual heterogeneity inpanel data, the latent class model. A fairly straightforward extension is suggested that should make this more widely useable by practitioners. Many of the underlying results already appear in the literature, but,once again, the range of applications is smaller than it could be.
Author : Laura Hospido
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (742 download)
Download or read book Estimating Non-linear Models with Multiple Fixed Effects written by Laura Hospido and published by . This book was released on 2011 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dalia A. Ghanem
Publisher :
ISBN 13 : 9781303193743
Total Pages : 233 pages
Book Rating : 4.1/5 (937 download)
Download or read book Nonseparable Panel Data Models Identification, Estimation and Testing written by Dalia A. Ghanem and published by . This book was released on 2013 with total page 233 pages. Available in PDF, EPUB and Kindle. Book excerpt: Microeconomic panel data, also known as longitudinal data or repeated measures, allow the researcher to observe the same individual across time. One of the advantages of panel data is that they allow the researcher to control for unobservable individual heterogeneity. The linear fixed effects model is the most commonly used method in empirical work to control for unobservable heterogeneity. Chapter 1 reviews the special features of the linear fixed effects model in detail, giving special attention to the definition of fixed effects and correlated random effects. It discusses the issues that arise when we move from a linear model to fully nonseparable models and reviews the two strands of the literature that are relevant for this dissertation: (1) the literature on nonlinear parametric panel data models with fixed effects, (2) the literature on nonparametric identification in nonseparable panel data models. Chapter 2 falls under the parametric nonlinear panel data models with fixed effects. Nonlinear panel data models with fixed effects are an important example in econometrics where the incidental parameter problem arises and the maximum likelihood estimator (MLE) is asymptotically biased. Bias correction of the MLE achieves consistency without increasing the asymptotic variance. Chapter 2 proposes a shrinkage estimator that combines that is shown to lead to a higher-order mean-square error improvement over the analytical bias-corrected estimator. Chapter 3 falls under the literature on nonparametric identification in nonseparable panel data models. Starting from a general DGP that exhibits nonseparability of the structural function, arbitrary individual and time heterogeneity, I give a necessary and sufficient condition for the point-identification of the APE for a subpopulation. This condition is then used to characterize the trade-off between assumptions on unobservable heterogeneity and the structural function that achieve identification. The identifying assumptions here have clear testable implications on the distribution of observables. I hence propose bootstrap-adjusted Kolmogorv-Smirnov and Cramer-von-Mises statistics to test these implications. Chapter 4 is an empirical paper that studies the issue of manipulation of air pollution data by Chinese cities. It applies tests similar in spirit to the tests proposed in Chapter 3 to test the presence of manipulation.
Author : Amrei Stammann
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (113 download)
Download or read book Nonlinear Panel Data Models with High-Dimensional Fixed Effects written by Amrei Stammann and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Martin Mugnier
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Identification and (Fast) Estimation of Large Nonlinear Panel Models with Two-Way Fixed Effects written by Martin Mugnier and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study a nonlinear two-way fixed effects panel model that allows for unobserved individual heterogeneity in slopes (interacting with covariates) and (unknown) flexibly specified link function. The former is particularly relevant when the researcher is interested in the distributional causal effects of covariates, and the latter mitigates potential misspecification errors due to imposing a known link function. We show that the fixed effects parameters and the (nonparametrically specified) link function can be identified when both individual and time dimensions are large. We propose a novel iterative Gauss-Seidel estimation procedure that overcomes the practical challenge of dimensionality in the number of fixed effects when the dataset is large. We revisit two empirical studies in trade (Helpman et al., 2008) and innovation (Aghion et al., 2013), and find non-negligible unobserved dispersion in trade elasticity (across countries) and the effect of institutional ownership on innovation (across firms). These exercises emphasize the usefulness of our method in capturing flexible (and unobserved) heterogeneity in the causal relationship of interest that may have important implications for the subsequent policy analysis.
Author : David William Hughes (Scientist in economics)
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)
Download or read book Essays in Econometrics written by David William Hughes (Scientist in economics) and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three chapters on the development and analysis of methods in econometrics. In the first two chapters I consider the use of jackknife bias correction techniques to deal with the incidental parameters bias that arises from including fixed effect parameters in nonlinear models. The final chapter deals with the properties of common linear instrumental variables methods in the presence of many endogenous regressors.
Author : Cheng Hsiao
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (13 download)
Download or read book Estimation of Fixed Effects Dynamic Panel Data Models - Linear Differencing Or Conditional Expectation written by Cheng Hsiao and published by . This book was released on 2018 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This note discusses the pros and cons of using the conditional mean approach of Mundlak (1978) and Chamberlain (1980) and the linear difference approach to deal with the incidental parameters issue in estimating fixed effects dynamic panel data models. The importance of the data generating process of the explanatory variables and the proper treatment of initial values for either approach to get asymptotically unbiased estimators are demonstrated both analytically and through Monte Carlo studies.
Author : Peter Toth
Publisher :
ISBN 13 :
Total Pages : 81 pages
Book Rating : 4.:/5 (13 download)
Download or read book Semiparametric Estimation in Network Formation Models with Homophily and Degree Heterogeneity written by Peter Toth and published by . This book was released on 2017 with total page 81 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers a semiparametric version of the network formation model of Graham (2017). The two-way fixed-effects binary choice model allows for homophily and degree heterogeneity, but unlike Graham (2017) leaves the distribution of pair-specific unobservables unspecified. Identification of the slope parameters and fixed effects follows from a novel approach that does not rely on distributional assumptions. The identification strategy suggests an estimator for the slope parameters based upon tetrads of nodes within the network. A computationally simple version of this estimator is shown to be consistent with a non-parametric convergence rate. A consistent estimator of the fixed effects is also provided. Partial identification, for the case of discrete covariate support, and an extension to nonlinear fixed effects are also considered.
Author : James W. Hardin
Publisher : Stata Press
ISBN 13 : 1597180149
Total Pages : 413 pages
Book Rating : 4.5/5 (971 download)
Download or read book Generalized Linear Models and Extensions, Second Edition written by James W. Hardin and published by Stata Press. This book was released on 2007 with total page 413 pages. Available in PDF, EPUB and Kindle. Book excerpt: Deftly balancing theory and application, this book stands out in its coverage of the derivation of the GLM families and their foremost links. This edition has new sections on discrete response models, including zero-truncated, zero-inflated, censored, and hurdle count models, as well as heterogeneous negative binomial, and more.
Author : Deniz Baglan
Publisher :
ISBN 13 : 9781124121024
Total Pages : 141 pages
Book Rating : 4.1/5 (21 download)
Download or read book Essays on Nonlinear Panel Data Models and Conditional Quantiles written by Deniz Baglan and published by . This book was released on 2010 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chapter 3 extends a linear stochastic production frontier model with time-varying individual effects to a nonparametric model in which the functional form of the production frontier is unspecified. We derive the kernel estimator for such a frontier in fixed effects framework and implement Monte Carlo simulations to investigate finite sample performances of our estimator. Lastly, we apply the estimator proposed in this chapter to estimate the production function and time-varying technical efficiency of private manufacturing establishments in Egypt over the period 1988 to 1996.
Author : Gabriela Miyazato Szini
Publisher :
ISBN 13 : 9789036107525
Total Pages : 0 pages
Book Rating : 4.1/5 (75 download)
Download or read book Advances in Panel and Network Econometrics written by Gabriela Miyazato Szini and published by . This book was released on 2024 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "In most of the chapters of this dissertation, I contribute to the literature on the econometrics of network models. While network data has some similarities to traditional panel data, estimating network models poses added challenges demanding new econometric techniques. In particular, part of the network dependence structure is often considered by including unit-specific effects for each pair of units, which imposes new challenges in estimating non-linear models. While most available methods provide consistent estimates and valid inference under settings of dense networks, there are still a lot of open questions regarding the estimation for sparse settings. The second chapter of this dissertation illustrates how to obtain the asymptotic properties of estimators for network (dyadic) models using tools from the literature on U-statistics, and the third chapter proposes a model and an estimation method for the conditional cumulative distribution function of outcomes generated by a sparse network.Finally, the fourth chapter of this dissertation focuses on a different topic in econometrics of panel data models, namely, the estimation of treatment effects and the use of the synthetic control (SC), demeaned synthetic control (DSC), and synthetic difference-in-differences (SDID) methods. More specifically, this chapter re-evaluates the effect of the Brexit referendum on the UK's GDP by considering these different estimation methods. Even though when initially proposed in the literature, the DSC and the SDID do not allow for matching on covariates, we fill this gap by providing an estimation method that takes covariates into account. Moreover, we show that the SDID estimator minimizes both interpolation and extrapolation biases, while the SC method only minimizes the latter."--
Author : Laszlo Balazsi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (95 download)
Download or read book The Estimation of Multi-dimensional Fixed Effects Panel Data Models written by Laszlo Balazsi and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jesús M. Carro
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (248 download)
Download or read book Estimating Dynamic Panel Data Discrete Choice Models with Fixed Effects written by Jesús M. Carro and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
