biasCorr {alpaca} | R Documentation |
biasCorr
is a post-estimation routine that can be used to substantially reduce the
incidental parameter bias problem (Neyman and Scott (1948)) present in non-linear fixed effects
models (see Fernández-Val and Weidner (2018) for an overview). The command applies the analytical
bias correction derived by Fernández-Val and Weinder (2016) and Hinz, Stammann, and Wanner (2020)
to obtain bias-corrected estimates of the structural parameters and is currently restricted to
logit and probit models with two- and three-way fixed effects.
biasCorr(object = NULL, L = 0L, panel.structure = c("classic", "network"))
object |
an object of class |
L |
unsigned integer indicating a bandwidth for the estimation of spectral densities proposed by Hahn and Kuersteiner (2011). Default is zero, which should be used if all regressors are assumed to be strictly exogenous with respect to the error term. In the presence of weakly exogenous or predetermined regressors, Fernández-Val and Weidner (2016, 2018) suggest to choose a bandwidth zero and four. Note that the order of factors to be partialed out is important for bandwidths larger than zero (see vignette for details). |
panel.structure |
a string equal to |
The function biasCorr
returns a named list of classes "biasCorr"
and
"feglm"
.
Czarnowske, D. and A. Stammann (2020). "Fixed Effects Binary Choice Models: Estimation and Inference with Long Panels". ArXiv e-prints.
Fernández-Val, I. and M. Weidner (2016). "Individual and time effects in nonlinear panel models with large N, T". Journal of Econometrics, 192(1), 291-312.
Fernández-Val, I. and M. Weidner (2018). "Fixed effects estimation of large-t panel data models". Annual Review of Economics, 10, 109-138.
Hahn, J. and G. Kuersteiner (2011). "Bias reduction for dynamic nonlinear panel models with fixed effects". Econometric Theory, 27(6), 1152-1191.
Hinz, J., A. Stammann, and J. Wanner (2020). "State Dependence and Unobserved Heterogeneity in the Extensive Margin of Trade". ArXiv e-prints.
Neyman, J. and E. L. Scott (1948). "Consistent estimates based on partially consistent observations". Econometrica, 16(1), 1-32.
# Generate an artificial data set for logit models library(alpaca) data <- simGLM(1000L, 20L, 1805L, model = "logit") # Fit 'feglm()' mod <- feglm(y ~ x1 + x2 + x3 | i + t, data) # Apply analytical bias correction mod.bc <- biasCorr(mod) summary(mod.bc)