LIKELIHOOD INFERENCE IN AN AUTOREGRESSION WITH FIXED EFFECTS

B-Tier
Journal: Econometric Theory
Year: 2016
Volume: 32
Issue: 5
Pages: 1178-1215

Authors (2)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:32:y:2016:i:05:p:1178-1215_00
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25