Nonlinear Panel Models with Interactive Effects ∗

@inproceedings{Chen2014NonlinearPM,
  title={Nonlinear Panel Models with Interactive Effects ∗},
  author={Mingli Chen and Iv{\'a}n Fern{\'a}ndez-Val and Martin Weidner},
  year={2014}
}
This paper considers estimation and inference on semiparametric nonlinear panel single index models with predetermined explanatory variables and interactive individual and time effects. These include static and dynamic probit, logit, and Poisson models. Fixed effects conditional maximum likelihood estimation is challenging because the log likelihood function is not concave in the individual and time effects. We propose an iterative two-step procedure to maximize the likelihood that is concave… CONTINUE READING