固定效应非线性面板模型中的时不变回归元

TIME-INVARIANT REGRESSOR IN NONLINEAR PANEL MODEL WITH FIXED EFFECTS

Econometric Theory · 2005
被引 13
人大 A-ABS 4

中文导读

将Hausman和Taylor(1981)的直觉推广到非线性面板模型,提出处理固定效应下时不变回归元的方法,并通过社会互动模型说明其应用。

Abstract

This paper generalizes the intuition of Hausman and Taylor (1981, Econometrica 49, 1377–1398) and develops a method of dealing with a time-invariant regressor in nonlinear panel models with fixed effects. We illustrate the usefulness of our result by discussing the implication for some nonlinear models of social interactions.We are grateful to Dan Ackerberg and Jerry Hausman for helpful comments. The first author gratefully acknowledges financial support from NSF grant SES-0313651.

非线性面板模型固定效应时不变回归元豪斯曼-泰勒估计