Search Results | Publications

You searched for:

Keyword: profile likelihood;

3 results found.

Econometrics Paper

Likelihood corrections for two-way models

Koen Jochmans and Taisuke Otsu

The use of two-way fixed-effect models is widespread. The presence of incidental parameter bias, however, invalidates statistical inference based on the likelihood. In this paper we consider modifications to the (profile...Read more...

19 February 2018

Econometrics Paper

Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods

Oliver Linton and Enno Mammen

We investigate a class of semiparametric ARCH(8) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible f...Read more...

May 2003

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

The score vector for a time series model which fits into the Gaussian state space form can be approximated by numerically differentiating the log-likelihood. If the parameter vector is of length p, this involves the runn...Read more...

1992