Modified Profile Likelihood for Fixed-Effects Panel Data Models

DOI10.1080/07474938.2014.975642zbMath1491.62181OpenAlexW1993113677MaRDI QIDQ5863655

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Publication date: 3 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2014.975642

zbMATH Keywords

bias reductionautoregressive modelstruncated regressionincidental parameter problemdynamic probit modeldynamic logit model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items

Integrated likelihoods in parametric survival models for highly clustered censored data ⋮ On estimation of two-dimensional dynamic panel model with confounders ⋮ A James-Stein-type adjustment to bias correction in fixed effects panel models ⋮ Parametric Bootstrap Inference for Stratified Models With High-Dimensional Nuisance Specifications ⋮ Technical and allocative efficiency in a panel stochastic production frontier system model ⋮ Monte Carlo modified profile likelihood in models for clustered data ⋮ Testing for state dependence in binary panel data with individual covariates by a modified quadratic exponential model ⋮ A Monte Carlo study of bias corrections for panel probit models ⋮ The role of conditional likelihoods in latent variable modeling ⋮ Exponential class of dynamic binary choice panel data models with fixed effects

Uses Software

• R
• cquad

Cites Work

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