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Econometrics Paper
Likelihood corrections for two-way models Koen Jochmans and Taisuke Otsu
February 2018
Paper No' EM 598:
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JEL Classification: C12; C14

Tags: asymptotic bias; bias correction; fixed effects; information bias; modified profile likelihood; panel data; mcmc; penalization; rectangular-array asymptotics

Econometrics Paper
Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.) Siem Jan Koopman and N.G. Shephard  1992
Paper No' EM/1992/241:
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Tags: smoothing; kahman filter; em algorithm; unobserved components model; profile likelihood.