演讲题目：Panel data, fixed effects, and the jackknife
演讲者: Geert Dhaene
演讲时间：2017年3月25日（周六）上午10：00一11：30
演讲地点: 嘉庚二205
主持人：吴红军 副教授
参加者：对会计、财务研究有兴趣的师生
讲座内容简介：It is well known that maximum likelihood estimation of nonlinear panel models with fixed effects produce estimates that suffer from large biases and confidence intervals with poor coverage. The jackknife offers a simple method to reduce this bias and to obtain confidence intervals that are correctly centered under rectangular-array asymptotics. By splitting the panel into blocks, the method is explicitly designed to handle dynamics in the data, and yields estimators that are straightforward to implement and can be readily applied to a range of models and estimands. We provide distribution theory for estimators of model parameters and average effects, present validity tests for the jackknife, and consider extensions to higher-order bias correction and to two-step estimation problems. (Based on joint work with Koen Jochmans, Sciences Po)