Modified-likelihood estimation of fixed-effect models for dyadic data

We consider point estimation and inference based on modifications of the profile likelihood in models for dyadic interactions between n agents featuring agent-specific parameters. The maximum-likelihood estimator of such models has bias and standard deviation of order n-1 and so is asymptotically biased. Estimation based on modified likelihoods leads to estimators that are asymptotically unbiased and likelihood ratio tests that exhibit correct size.

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Year of publication:	2023
Authors:	Jochmans, Koen
Published in:	SERIEs - Journal of the Spanish Economic Association. - ISSN 1869-4195. - Vol. 14.2023, 3/4, p. 417-433
Publisher:	Heidelberg : Springer
Subject:	Asymptotic bias \| Dyadic data \| Fixed effects \| Undirected random graph

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.1007/s13209-023-00284-0 [DOI] 1879625245 [GVK]
Classification:	C23 - Models with Panel Data
Source:	EconStor

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