Tools
Tools
Jochmans, Koen
(2023)
Modified-likelihood estimation of fixed-effect model for dyadic data.
Journal of the Spanish Economic Association, vol.14.
pp. 417-433.
This is the latest version of this item.
Preview |
Text
Download (347kB) | Preview |
Official URL : http://tse-fr.eu/pub/129029
Identification Number : 10.1007/s13209-023-00284-0
Abstract
We consider point estimation and inference based on modifications of the profile likelihood in models for dyadic interactions between n agents featuring agent-specific parameters. The maximum-likelihood estimator of such models has bias and standard deviation of order n-1 and so is asymptotically biased. Estimation based on modified likelihoods leads to estimators that are asymptotically unbiased and likelihood ratio tests that exhibit correct size.
| Item Type: | Article |
|---|---|
| Language: | English |
| Date: | 2023 |
| Refereed: | Yes |
| Uncontrolled Keywords: | Asymptotic bias, Dyadic data, Fixed effects, Undirected random graph |
| JEL Classification: | C23 - Models with Panel Data |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Site: | UT1 |
| Date Deposited: | 26 Jan 2024 15:03 |
| Last Modified: | 15 Mar 2024 09:51 |
| OAI Identifier: | oai:tse-fr.eu:129029 |
| URI: | https://publications.ut-capitole.fr/id/eprint/48570 |
Available Versions of this Item
-
Modified-likelihood estimation of fixed-effect models for dyadic data. (deposited 26 Jan 2024 08:43)
- Modified-likelihood estimation of fixed-effect model for dyadic data. (deposited 26 Jan 2024 15:03) [Currently Displayed]
