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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26204
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| Title: | Fixed and Random Effects in Nonlinear Models |
| Authors: | Greene, William |
| Keywords: | Panel data
random effects
fixed effects
latent class
random parameters |
| Issue Date: | 29-Jan-2001 |
| Series/Report no.: | EC-01-01 |
| Abstract: | This paper surveys recently developed approaches to analyzing panel data
with nonlinear models. We summarize a number of results on estimation of
fixed and random effects models in nonlinear modeling frameworks such as
discrete choice, count data, duration, censored data, sample selection,
stochastic frontier and, generally, models that are nonlinear both in
parameters and variables. We show that notwithstanding their
methodological shortcomings, fixed effects are much more practical than
heretofore reflected in the literature. For random effects models, we
develop an extension of a random parameters model that has been used
extensively, but only in the discrete choice literature. This model
subsumes the random effects model, but is far more flexible and general,
and overcomes some of the familiar shortcomings of the simple additive
random effects model as usually formulated. Once again, the range of
applications is extended beyond the familiar discrete choice setting.
Finally, we draw together several strands of applications of a model
that has taken a semiparametric approach to individual heterogeneity in
panel data, the latent class model. A fairly straightforward extension
is suggested that should make this more widely useable by practitioners.
Many of the underlying results already appear in the literature, but,
once again, the range of applications is smaller than it could be. |
| URI: | http://hdl.handle.net/2451/26204 |
| Appears in Collections: | Economics Working Papers
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