Search Results - subject:"Incidental parameter"

Likelihood-based inference for nonlinear models with both individual and time effects

Sun, Yutao - 2016

Persistent link: https://www.econbiz.de/10011707035

Estimation of fixed effects dynamic panel data models : linear differencing or conditional expectation

Hsiao, Cheng - In: Econometric reviews 39 (2020) 8, pp. 858-874

Persistent link: https://www.econbiz.de/10012295585

Kernel estimation for panel data with heterogeneous dynamics

Okui, Ryo; Yanagi, Takahide - In: The econometrics journal 23 (2020) 1, pp. 156-175

Persistent link: https://www.econbiz.de/10012167264

Consistency in estimation and model selection of dynamic panel data models with fixed effects

Li, Guangjie - In: Econometrics 3 (2015) 3, pp. 494-524

We examine the relationship between consistent parameter estimation and model selection for autoregressive panel data models with fixed effects. We find that the transformation of fixed effects proposed by Lancaster (2002) does not necessarily lead to consistent estimation of common parameters...

Persistent link: https://www.econbiz.de/10011755290

Consistency in estimation and model selection of dynamic panel data models with fixed effects

Li, Guangjie - In: Econometrics : open access journal 3 (2015) 3, pp. 494-524

Persistent link: https://www.econbiz.de/10011297557

Unified inference for nonlinear factor models from panels with fixed and large time span

Andersen, Torben; Fusari, Nicola; Todorov, Viktor; … - In: Journal of econometrics 212 (2019) 1, pp. 4-25

Persistent link: https://www.econbiz.de/10012303860

Bias reduction in nonlinear and dynamic panels in the presence of cross-section dependence

Pakel, Cavit - In: Journal of econometrics 213 (2019) 2, pp. 459-492

Persistent link: https://www.econbiz.de/10012304576

Technical and allocative efficiency in a panel stochastic production frontier system model

Lai, Hung-pin; Kumbhakar, Subal - In: European journal of operational research : EJOR 278 (2019) 1, pp. 255-265

Persistent link: https://www.econbiz.de/10012102609

Split-Panel Jackknife Estimation of Fixed-Effect Models

Dhaene, Geert; Jochmans, Koen - Sciences économiques, Sciences Po - 2014

Maximum-likelihood estimation of nonlinear models with fixed effects is subject to the incidental-parameter problem …

Persistent link: https://www.econbiz.de/10010932907

Split-Panel Jackknife Estimation of Fixed-Effect Models

Dhaene, Geert; Jochmans, Koen - Department of Economics, Sciences économiques - 2014

Maximum-likelihood estimation of nonlinear models with fixed effects is subject to the incidental-parameter problem …

Persistent link: https://www.econbiz.de/10010932924