Search Results - subject:"incidental parameter problem"

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

Panel data models with nonadditive unobserved heterogeneity: Estimation and inference

Fernández-Val, Iván; Lee, Joonhwah - In: Quantitative Economics 4 (2013) 3, pp. 453-481

Persistent link: https://www.econbiz.de/10011599645

Panel data models with nonadditive unobserved heterogeneity : estimation and inference

Fernández-Val, Iván; Lee, Joonhwah - In: Quantitative economics : QE ; journal of the … 4 (2013) 3, pp. 453-481

the time series of each individual. To deal with the incidental parameter problem introduced by the noise of the within …

Persistent link: https://www.econbiz.de/10011757086

Modified profile likelihood for fixed-effects panel data models

Bartolucci, Francesco; Bellio, R.; Salvan, A.; Sartori, N. - In: Econometric reviews 35 (2016) 5/7, pp. 1271-1289

Persistent link: https://www.econbiz.de/10011591243

Essays on economic and econometric applications of Bayesian estimation and model comparison

Li, Guangjie - 2009

model comparison. The first two chapters study the incidental parameter problem mainly under a linear autoregressive (AR … proposes a correction function approach to solve the incidental parameter problem. It is discovered that the correction … parameter problem if the wrong set of exogenous regressors are included. To estimate the model consistently and to measure its …

Persistent link: https://www.econbiz.de/10009474900

Consistent estimation, model selection and averaging of dynamic panel data models with fixed effect

Li, Guangjie - 2009

In the context of an autoregressive panel data model with fixed effect, we examine the relationship between consistent parameter estimation and consistent model selection. Consistency in parameter estimation is achieved by using the tansformation of the fixed effect proposed by Lancaster (2002)....

Persistent link: https://www.econbiz.de/10010288764

A correction function approach to solve the incidental parameter problem

Li, Guangjie; Leon-Gonzalez, Roberto - 2009

Following Lancaster (2002), we propose a strategy to solve the incidental parameter problem. The method is demonstrated … parameter problem when the model is stationary with strictly exogenous regressors. MCMC algorithms are developed for parameter … unavailable, such as the linear AR(p) panel model. For the AR(p) model, there exists a correction function to fix the incidental …

Persistent link: https://www.econbiz.de/10010288792

Consistent Estimation, Model Selection and Averaging of Dynamic Panel Data Models with Fixed Effect

LI, Guangjie - Economics Section, Cardiff Business School - 2009

In the context of an autoregressive panel data model with fixed effect, we examine the relationship between consistent parameter estimation and consistent model selection. Consistency in parameter estimation is achieved by using the transformation of the fixed effect proposed by Lancaster...

Persistent link: https://www.econbiz.de/10005036277