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Keyword: profile likelihood;
3 results found.
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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
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...
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...