Remedying the Neyman–Scott phenomenon in model discrimination

DOI10.1080/00949650903471015zbMath1221.62007OpenAlexW2060027198MaRDI QIDQ3019826

Alessandra Salvan, Laura Ventura, Luigi Pace

Publication date: 29 July 2011

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650903471015

zbMATH Keywords

panel datanuisance parametermarginal likelihoodLaplace expansionprofile likelihoodAkaike's information criterionincidental parameters problemgroup invariancestratified dataTakeuchi's information criterion

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Statistical ranking and selection procedures (62F07) Foundational topics in statistics (62A99)

Cites Work

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• Estimating the dimension of a model
• The incidental parameter problem since 1948
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• Likelihood-based discrimination between separate scale and regression models
• Modified profile likelihoods in models with stratum nuisance parameters
• The behaviour of the maximum likelihood estimator of limited dependent variable models in the presence of fixed effects
• Fixed Effects and Bias Due to the Incidental Parameters Problem in the Tobit Model
• On a formula for the distribution of the maximum likelihood estimator
• Statistical Models
• The Focused Information Criterion
• Model Selection and Multimodel Inference
• Quasi Most Powerful Invariant Goodness‐of‐fit Tests
• Consistent Estimates Based on Partially Consistent Observations

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