Modified-likelihood estimation of fixed-effect models for dyadic data-Reference-Cited by-同舟云学术

Modified-likelihood estimation of fixed-effect models for dyadic data

Published:2023-07-14 Issue:3-4 Volume:14 Page:417-433
ISSN:1869-4187
Container-title:SERIEs
language:en
Short-container-title:SERIEs

Author:

Jochmans Koen

Abstract

AbstractWe consider point estimation and inference based on modifications of the profile likelihood in models for dyadic interactions between n agents featuring agent-specific parameters. The maximum-likelihood estimator of such models has bias and standard deviation of order

$$n^{-1}$$

n - 1 and so is asymptotically biased. Estimation based on modified likelihoods leads to estimators that are asymptotically unbiased and likelihood ratio tests that exhibit correct size.

Funder

HORIZON EUROPE European Research Council

ANR

Publisher

Springer Science and Business Media LLC

Subject

General Economics, Econometrics and Finance

Link

https://link.springer.com/content/pdf/10.1007/s13209-023-00284-0.pdf

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