EstimatingEconometricModelswithFixedEffects：估计固定效应的计量经济学模型.docVIP

Estimating Econometric Models with Fixed Effects William Greene* Department of Economics, Stern School of Business, New York University, April, 2001 Abstract The application of nonlinear fixed effects models in econometrics has often been avoided for two reasons, one methodological, one practical. The methodological question centers on an incidental parameters problem that raises questions about the statistical properties of the estimator. The practical one relates to the difficulty of estimating nonlinear models with possibly thousands of coefficients. This note will demonstrate that the second is, in fact, a nonissue, and that in a very large number of models of interest to practitioners, estimation of the fixed effects model is quite feasible even in panels with huge numbers of groups. The models are fully parametric, and all parameters of interest are estimable. Keywords: Panel data, fixed effects, computation. JEL classification: C1, C4 1. Introduction The fixed effects model is a useful specification for accommodating individual heterogeneity in panel data. But, it has been problematic for two reasons. In most cases, the estimator is inconsistent owing to the incidental parameters problem. How serious this problem is in practical terms remains to be established - there is only a very small amount of received evidence - but the theoretical result is unambiguous. A second problem is purely practical. With current technology, the computation of the model parameters and appropriate standard errors, with all its nuisance parameters, appears to be impractical. This note focuses on the second of these, and shows that in a large number of interesting cases, the difficulty is only apparent. We will focus on a single result, computation of the estimator, and rely on some well known algebraic results to establish it. No formal statistical results are derived here or suggested with Monte Carlo results, as in general, the results are already known. T