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

Koen Jochmans

SERIEs: Journal of the Spanish Economic Association, 2023, vol. 14, issue 3, No 8, 417-433

Abstract: Abstract We 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.

Keywords: Asymptotic bias; Dyadic data; Fixed effects; Undirected random graph (search for similar items in EconPapers)
JEL-codes: C23 (search for similar items in EconPapers)
Date: 2023
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Related works:
Working Paper: Modified-likelihood estimation of fixed-effect models for dyadic data (2024)
Working Paper: Modified-Likelihood Estimation of Fixed-Effect Models for Dyadic Data (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:spr:series:v:14:y:2023:i:3:d:10.1007_s13209-023-00284-0

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DOI: 10.1007/s13209-023-00284-0

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