固定效应模型的引导推断

IF 6.6 1区 经济学 Q1 ECONOMICS
Econometrica Pub Date : 2024-03-19 DOI:10.3982/ECTA20712
Ayden Higgins, Koen Jochmans
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引用次数: 0

摘要

具有固定效应的非线性面板数据模型的最大似然估计值在矩形阵列渐近学下是有偏差的。为了挽救标准推论程序,相关文献花费了大量精力来设计纠正这种偏差的方法。本文的主要目的是证明(递归参数)自举法复制了(未修正的)最大似然估计量和似然比统计量的渐近分布。这就证明通过传统自举方法构建的假设检验置信集和决策规则的使用是合理的。无需对偏差的存在进行修改。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Bootstrap Inference for Fixed-Effect Models

The maximum-likelihood estimator of nonlinear panel data models with fixed effects is asymptotically biased under rectangular-array asymptotics. The literature has devoted substantial effort to devising methods that correct for this bias as a means to salvage standard inferential procedures. The chief purpose of this paper is to show that the (recursive, parametric) bootstrap replicates the asymptotic distribution of the (uncorrected) maximum-likelihood estimator and of the likelihood-ratio statistic. This justifies the use of confidence sets and decision rules for hypothesis testing constructed via conventional bootstrap methods. No modification for the presence of bias needs to be made.

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来源期刊
Econometrica
Econometrica 社会科学-数学跨学科应用
CiteScore
11.00
自引率
3.30%
发文量
75
审稿时长
6-12 weeks
期刊介绍: Econometrica publishes original articles in all branches of economics - theoretical and empirical, abstract and applied, providing wide-ranging coverage across the subject area. It promotes studies that aim at the unification of the theoretical-quantitative and the empirical-quantitative approach to economic problems and that are penetrated by constructive and rigorous thinking. It explores a unique range of topics each year - from the frontier of theoretical developments in many new and important areas, to research on current and applied economic problems, to methodologically innovative, theoretical and applied studies in econometrics. Econometrica maintains a long tradition that submitted articles are refereed carefully and that detailed and thoughtful referee reports are provided to the author as an aid to scientific research, thus ensuring the high calibre of papers found in Econometrica. An international board of editors, together with the referees it has selected, has succeeded in substantially reducing editorial turnaround time, thereby encouraging submissions of the highest quality. We strongly encourage recent Ph. D. graduates to submit their work to Econometrica. Our policy is to take into account the fact that recent graduates are less experienced in the process of writing and submitting papers.
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