A Penalty Function Approach to Bias Reduction in Non-linear Panel Models with Fixed Effects

@inproceedings{Bester2007APF,
  title={A Penalty Function Approach to Bias Reduction in Non-linear Panel Models with Fixed Effects},
  author={Charmaine Bester and Christian Hansen},
  year={2007}
}
In this paper, we consider estimation of nonlinear panel data models that include individual specific fixed effects. Estimation of these models is complicated by the incidental parameters problem; that is, noise in the estimation of the fixed effects when the time dimension is short generally results in inconsistent estimates of the common parameters due to… CONTINUE READING