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Jochmans, Koen
(2023)
Modified-likelihood estimation of fixed-effect models for dyadic data.
TSE Working Paper, n. 24-1502, Toulouse
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Official URL : http://tse-fr.eu/pub/129030
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: | Monograph (Working Paper) |
|---|---|
| Language: | English |
| Date: | May 2023 |
| Place of Publication: | Toulouse |
| 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) |
| Institution: | Université Toulouse Capitole |
| Site: | UT1 |
| Date Deposited: | 26 Jan 2024 08:43 |
| Last Modified: | 15 Mar 2024 15:44 |
| OAI Identifier: | oai:tse-fr.eu:129030 |
| URI: | https://publications.ut-capitole.fr/id/eprint/48571 |
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- Modified-likelihood estimation of fixed-effect models for dyadic data. (deposited 26 Jan 2024 08:43) [Currently Displayed]
