Title: Likelihood inference in an autoregression with fixed effects
Authors: Dhaene, Geert ×
Jochmans, Koen #
Issue Date: 2016
Publisher: Cambridge University Press
Series Title: Econometric Theory vol:32 pages:1178-1215
Abstract: We calculate the bias of the profile score for the regression coefficients in a multistratum autoregressive model with stratum-specific intercepts. The bias is free of incidental parameters. Centering the profile score delivers an unbiased estimating equation and, upon integration, an adjusted profile likelihood. A variety of other approaches to constructing modified profile likelihoods are shown to yield equivalent results. However, the global maximizer of the adjusted likelihood lies at infinity for any sample size, and the adjusted profile score has multiple zeros. Consistent parameter estimates are obtained as local maximizers inside or on an ellipsoid centered at the maximum likelihood estimator.
ISSN: 0266-4666
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center of Econometrics, Leuven
× corresponding author
# (joint) last author

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