A James-Stein-type adjustment to bias correction in fixed effects panel models

• Published in: Econometric reviews Vol. 41; no. 6; pp. 633 - 651
• Main Author: Ghanem, Dalia
• Format: Journal Article
• Language: English
• Published: New York Taylor & Francis 12.07.2022; Taylor & Francis Ltd
• Subjects: Adjustment; Autoregressive models; Bias; Econometrics; incidental parameters; Longitudinal studies; maximum likelihood; panel data; Parameters; repeated measures; shrinkage; Weighting; Within-subjects design

This paper proposes a James-Stein-type (JS) adjustment to analytical bias correction in fixed effects panel models that suffer from the incidental parameters problem. We provide high-level conditions under which the infeasible JS adjustment leads to a higher-order MSE improvement over the bias-corre...