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
http://ideas.repec.org/a/ecm/emetrp/v72y2004i4p1295-1319.html gives a
citation:
Jinyong Hahn and Whitney Newey, Jackknife and Analytical Bias Reduction for
Nonlinear Panel Models _Econometrica_ 72(4):1295-1319, 2004.
and
http://ideas.repec.org/p/ifs/cemmap/17-03.html indicates that the
manuscript is available at http://cemmap.ifs.org.uk/wps/cwp0317.pdf
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