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

DOI10.1016/j.jeconom.2020.10.001zbMath1471.62542OpenAlexW1870859043MaRDI QIDQ2024474

Martin Schumann, Thomas A. 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

nonlinear modelsfixed effectspanel dataintegrated likelihood

Mathematics Subject Classification ID

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

Related Items

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

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