A maximum likelihood method for the incidental parameter problem

DOI10.1214/09-AOS688zbMath1183.62040arXiv0909.0613MaRDI QIDQ1043759

Marcelo J. Moreira

Publication date: 9 December 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0909.0613

zbMATH Keywords

invariancemaximum likelihood estimatorincidental parameterslimits of experiments

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Foundations and philosophical topics in statistics (62A01)

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Median-based estimation of dynamic panel models with fixed effects ⋮ COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING ⋮ Likelihood approach to dynamic panel models with interactive effects ⋮ Second-order corrected likelihood for nonlinear panel models with fixed effects ⋮ Likelihood inference and the role of initial conditions for the dynamic panel data model ⋮ Minimum distance approach to inference with many instruments ⋮ Tests based on \(t\)-statistics for IV regression with weak instruments ⋮ Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence

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