Integrated likelihood based inference for nonlinear panel data models with unobserved effects

DOI10.1016/J.JECONOM.2020.10.001MaRDI QIDQ2024474zbMATH OpenOpenAlexFDO

Authors Martin Schumann, Thomas Severini, Gautam Tripathi

Publication date 4 May 2021

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://wwwen.uni.lu/research/fdef/crea/publications2/discussion_papers

zbMATH Keywords

fixed effectsintegrated likelihoodnonlinear modelspanel data

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

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Cited in

(7)

• Generalized dynamic panel data models with random effects for cross-section and time
• Approximate estimation in nonlinear panel data models
• Modified profile likelihood for fixed-effects panel data models
• Integrated likelihood inference in multinomial distributions
• The role of score and information bias in panel data likelihoods
• SECOND-ORDER BIAS REDUCTION FOR NONLINEAR PANEL DATA MODELS WITH FIXED EFFECTS BASED ON EXPECTED QUANTITIES
• Some properties of a parameterization useful in integrated likelihood inference

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