Likelihood inference in an Autoregression with fixed effects

Geert Dhaene and Koen Jochmans

Working Papers from HAL

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. We argue that the parameters are local maximizers inside or on an ellipsoid centered at the maximum likelihood estimator.

Keywords: adjusted likelihood; autoregression; incidental parameters; local maximizer; recentered estimating equation (search for similar items in EconPapers)
Date: 2013-01
Note: View the original document on HAL open archive server: https://sciencespo.hal.science/hal-01070434
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://sciencespo.hal.science/hal-01070434/document (application/pdf)

Related works:
Journal Article: LIKELIHOOD INFERENCE IN AN AUTOREGRESSION WITH FIXED EFFECTS (2016)
Working Paper: Likelihood Inference in an Autoregression with Fixed Effects (2016)
Working Paper: Likelihood Inference in an Autoregression with Fixed Effects (2016)
Working Paper: Likelihood inference in an Autoregression with fixed effects (2013)
Working Paper: Likelihood inference in an Autoregression with fixed effects (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-01070434

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().