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Re: st: ologit with fixed effect

From   Joseph Coveney <>
To   Statalist <>
Subject   Re: st: ologit with fixed effect
Date   Sat, 29 Oct 2005 18:58:28 +0900

Steve Stillman wrote (excerpted):

This will only provide an unbiased estimate if you have more years of data
than households (ie T>N where N is the fixed effect dimension).  Otherwise,
you have the familiar incidental parameters problem in non-linear models.


Has anyone tried the jackknife approach to bias reduction recommended by
Hahn & Newey in these circumstances?  It seems as if it ought to be
reasonably straightforward to program in Stata.

Joseph Coveney gives a
Jinyong Hahn and Whitney Newey, Jackknife and Analytical Bias Reduction for
Nonlinear Panel Models _Econometrica_ 72(4):1295-1319, 2004.

and indicates that the
manuscript is available at

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