Bootstrap Inference in Nonlinear Panel Data Models with Interactive Fixed Effects

Haoyuan Xu; Wei Miao; Geert Dhaene; Jad Beyhum

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arXiv · 2604.26826

Bootstrap Inference in Nonlinear Panel Data Models with Interactive Fixed Effects

Haoyuan Xu·Wei Miao·Geert Dhaene·Jad Beyhum

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Abstract

The maximum likelihood estimator in nonlinear panel data models with interactive fixed effects is biased. Several bias correction methods, such as analytical and jackknife approaches, have been proposed to enable valid inference. This paper shows that the parametric bootstrap also enables valid inference in such models. In particular, we show that the parametric bootstrap replicates the asymptotic distribution of the maximum likelihood estimator. Therefore, it yields asymptotically unbiased estimates and confidence sets with asymptotically correct coverage. We also propose a transformation-based bootstrap confidence interval that delivers improved finite-sample performance. Simulation results support the theoretical findings. Finally, we apply the proposed method to examine technological and product market spillover effects on firms' innovation behavior.

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BibTeX RIS

Haoyuan Xu, Wei Miao, Geert Dhaene, Jad Beyhum. 2026-04-29. Bootstrap Inference in Nonlinear Panel Data Models with Interactive Fixed Effects. https://arxiv.org/abs/2604.26826

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