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26 janvier 2022
- 2201.11156
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Economics - EconometricsSujets proches
Instruction and study--Methods Bias Instruction and study--MethodsCiter ce document
Ayden Higgins et al., « Bootstrap inference for fixed-effect models », arXiv - économie
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Résumé
The maximum-likelihood estimator of nonlinear panel data models with fixed effects is consistent but asymptotically-biased under rectangular-array asymptotics. The literature has thus far concentrated its effort on devising methods to correct the maximum-likelihood estimator for its bias as a means to salvage standard inferential procedures. Instead, we show that the parametric bootstrap replicates the distribution of the (uncorrected) maximum-likelihood estimator in large samples. This justifies the use of confidence sets constructed via standard bootstrap percentile methods. No adjustment for the presence of bias needs to be made.