Likelihood corrections for two-way models

Koen Jochmans, Taisuke Otsu

研究成果: Article査読

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.

本文言語English
ページ(範囲)227-242
ページ数16
ジャーナルAnnals of Economics and Statistics
134
DOI
出版ステータスPublished - 2019
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率
  • 社会科学(その他)
  • 経済学、計量経済学
  • 統計学、確率および不確実性

フィンガープリント

「Likelihood corrections for two-way models」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル