Title: On the incidental parameter problem in fractional response models with fixed effects
Authors: Amrei Stammann - Ruhr-University Bochum (Germany) [presenting]
Abstract: The incidental parameter problem is studied in fixed effects quasi-maximum likelihood estimators for fractional response models. We uncover a special case that comprises many relevant empirical applications. Opposed to results known from the earlier literature, estimates for structural parameters and average partial effects often exhibit surprisingly small biases even when the number of time periods is small. We provide a theoretical explanation for this phenomenon and investigate the effectiveness of bias correction methods in simulation experiments.