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State Dependence and Heterogeneity in Health Using a Bias Corrected Fixed Effects Estimator. (2011). Carro, Jesus ; Traferri, Alejandra .
In: Documentos de Trabajo.
RePEc:ioe:doctra:402.

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  13. 3. Concentrate the likelihood and estimate with âxed eects. The problems come from not having a close form for bi and ^ci to obtain the analytic expression of the concentrated likelihood, and from having to estimate as many âxed eects parameters as individuals in the panel with large N. This problem is not speciâc to the MMLE. It aects any estimator with âxed eects and has already been treated in the literature. On top of that, computational problems are smaller with the current technology than they used to be. Classical references oering dierent solutions are Chamberlain (1980) and Heckman and MaCurdy (1980). More recently Greene (2004) also deals with the computational problem of inverting a large Hessian matrix. We have not used any of these solutions when estimating the MLE and MMLE. We have followed the proposal in

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    In: Documentos de Trabajo.
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