Modified profile likelihoods in models with stratum nuisance parameters

By Nicola Sartori. 2003

100 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/cae6a8aa22e11ed3499c68fe847d5db8f5031470

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Citations in the corpus

Model Selection in the Presence of Incidental Parameters (2015, unknown): “This result corresponds to the fact that the profile likelihood does not share the standard properties of the genuine likelihood function (e.g., the score has nonzero expectation or the information identity is violated), which therefore needs appropriate modification (e.g., Sartori, 2003).”
Understanding Bias in Nonlinear Panel Models: Some Recent Developments ∗ (2005, background): “Severini (2002) extends his earlier results to pseudo-ML estimation problems, and Sartori (2003) considers double asymptotic properties of modified concentrated likelihoods in the context of independent panel or stratified data with fixed effects.”
Fitting and Testing Vast Dimensional Time-Varying Covariance Models (2007, background): “Each ljkt(λ, φ) is a valid contribution to the pseudo-likelihood and can contribute to learning about φ.”
Split-Panel Jackknife Estimation of Fixed-Effect Models (2015, background): “In the context of inference in the presence of nuisance parameters, such approaches have been the subject of much study in the statistics literature; see Sartori (2003) for a recent account and many references.”
Median bias reduction of maximum likelihood estimates (2016, unknown): “For instance, in a stratified setting with independent yaj , a = 1, . . . , q and j = 1, . . . ,m, having marginal distribution depending on (ψ, λa) with both q and m diverging as in Sartori (2003), the term κ1ψ in (8) is of order O(q), while κ3ψ/κ2ψ is of order O(1).”
Asymptotics and the theory of inference (2003, methodology): “Numerical work in relatively simple models seems to indicate that approximations based on adjusted likelihood roots are better [Butler, Huzurbazar and Booth (1992b); Pierce and Peters (1992); Sartori (2002)] so the use of p (ψ) in (3.3) may be a drawback of the approach developed here.”