Mathematics – Statistics Theory
Scientific paper
2009-09-03
Annals of Statistics 2009, Vol. 37, No. 6A, 3660-3696
Mathematics
Statistics Theory
Published in at http://dx.doi.org/10.1214/09-AOS688 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of
Scientific paper
10.1214/09-AOS688
This paper uses the invariance principle to solve the incidental parameter problem of [Econometrica 16 (1948) 1--32]. We seek group actions that preserve the structural parameter and yield a maximal invariant in the parameter space with fixed dimension. M-estimation from the likelihood of the maximal invariant statistic yields the maximum invariant likelihood estimator (MILE). Consistency of MILE for cases in which the likelihood of the maximal invariant is the product of marginal likelihoods is straightforward. We illustrate this result with a stationary autoregressive model with fixed effects and an agent-specific monotonic transformation model. Asymptotic properties of MILE, when the likelihood of the maximal invariant does not factorize, remain an open question. We are able to provide consistent, asymptotically normal and efficient results of MILE when invariance yields Wishart distributions. Two examples are an instrumental variable (IV) model and a dynamic panel data model with fixed effects.
No associations
LandOfFree
A maximum likelihood method for the incidental parameter problem does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with A maximum likelihood method for the incidental parameter problem, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A maximum likelihood method for the incidental parameter problem will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-663758