Search Results - subject:"Incidental parameters"

Minimal Asymptotic Distributions for Estimators of Panel Data Models

Woutersen, Tiemen - University of Western Ontario, Department of Economics - 2002

This paper develops the minimal asymptotic distributions for estimators of panel data models with incidental parameters. …

Persistent link: https://www.econbiz.de/10005515493

Robustness against Incidental Parameters

Woutersen, Tiemen - University of Western Ontario, Department of Economics - 2002

Neyman and Scott (1948) define the incidental parameter problem. In panel data with T observations per individual and unobservable individual-specific effects, the maximum likelihood estimator of the common parameters is in general inconsistent. This paper develops the integrated moment...

Persistent link: https://www.econbiz.de/10005730753

Robustness Against Incidental Parameters and Mixing Distributions

Woutersen, Tiemen - 2001

Neyman and Scott (1948) define the incidental parameter problem. In panel data with T observations per individual and unobservable individual-specific effects, the inconsistency of the maximum likelihood estimator of the common parameters is in general of the order 1/T. This paper considers the...

Persistent link: https://www.econbiz.de/10009447219

Elliptical Functional Models

Vilca-Labra, F.; Arellano-Valle, R. B.; Bolfarine, H. - In: Journal of Multivariate Analysis 65 (1998) 1, pp. 36-57

asymptotic normality of the maximum likelihood estimators. Due to the presence of incidental parameters, standard maximum …

Persistent link: https://www.econbiz.de/10005199474

On Keats' generalization of the rasch model

Colonius, Hans - In: Psychometrika 42 (1977) 3, pp. 443-445

Persistent link: https://www.econbiz.de/10005381583