Likelihood corrections for two-way models

Koen Jochmans, Taisuke Otsu

研究成果: Article

抄録

The use of panel data models with two-way fixed effects is widespread. Incidental-parameter bias, however, invalidates inference based on the (profile) likelihood. We consider modifications to the likelihood that yield asymptotically-unbiased estimators as well as test statistics that are size correct under rectangular-array asymptotics. The modifications are widely applicable and easy to implement. Through several examples we illustrate that the modifications can lead to dramatic improvements relative to maximum likelihood, both in terms of point estimation and inference.

元の言語English
ページ(範囲)227-242
ページ数16
ジャーナルAnnals of Economics and Statistics
発行部数134
DOI
出版物ステータスPublished - 2019 1 1
外部発表Yes

Fingerprint

Likelihood
Profile Likelihood
Point Estimation
Fixed Effects
Unbiased estimator
Panel Data
Data Model
Test Statistic
Maximum Likelihood
statistics
Model
trend
Inference
Estimator
Fixed effects
Test statistic
Maximum likelihood

ASJC Scopus subject areas

  • Statistics and Probability
  • Social Sciences (miscellaneous)
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

これを引用

Likelihood corrections for two-way models. / Jochmans, Koen; Otsu, Taisuke.

:: Annals of Economics and Statistics, 番号 134, 01.01.2019, p. 227-242.

研究成果: Article

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