Nonlinear Panel Data Analysis

@inproceedings{Arellano2011NonlinearPD,
  title={Nonlinear Panel Data Analysis},
  author={Manuel Aguilar Arellano and St{\'e}phane Bonhomme},
  year={2011}
}
Nonlinear panel data models arise naturally in economic applications, yet their analysis is challenging. Here we provide a progress report on some recent advances in the area. We start by reviewing the properties of random-effects likelihood approaches. We emphasize a link with Bayesian computation and Markov chain Monte Carlo, which provides a convenient approach to estimation and inference. The relaxation of parametric assumptions on the distribution of individual effects raises serious… CONTINUE READING

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