The incidental parameter problem since 1948

By T. Lancaster. 2000

1,123 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/dc2b412ee7c3911d3b299c54ebb064b80f5f580d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

Citations in the corpus

Estimation of spatial autoregressive panel data models with fixed effects (2010, methodology): “4 The transformation approach for our models can either be justified as a conditional likelihood, a partial likelihood (Cox, 1975), or a modified likelihood based on a concentrated likelihood of the direct estimation (Kalbfleisch and Sprott, 1970; Cox and Reid, 1987; Lancaster, 2000; Arellano and Ha”
Understanding Bias in Nonlinear Panel Models: Some Recent Developments ∗ (2005, methodology): “i=1 ebi (θ) (13) where e Ii = −3 b ET [b uitb uit]− b ET [b uitbvit] b ET £bv2 it¤−1 b ET [bvitb u0it] ́ = − b ET 3b Uit b U 0 it ́ , (14) ebi (θ) = PTt=1 b Uit (θ, b αi (θ))V2it (θ, b αi (θ)) 2 PT t=1 v αi it (θ, b αi (θ)) , (15) and b Uit ≡ b Uit (θ, b αi (θ)) = uit (θ, b αi (θ))− b ET [b uitb vit”
The Impact of Green Lending on Credit Risk in China (2018, background): “Moreover, a fixed-effects model can be biased because of the incidental parameters problem [66].”
Semiparametric Estimation of a Panel Data Proportional Hazards Model with Fixed Effects (2004, background): “and Prentice (1980, 8.1.2), Lancaster (2000) , and Ridder and Tunali (1999) among others.”
An Empirical Analysis of User Content Generation and Usage Behavior on the Mobile Internet (2011, methodology): “Therefore, we implemented a Poisson fixed effect model in which the incidental parameter problem is not a problem (Lancaster 2000, Greene 2007).”
Robust priors in nonlinear panel data models (2007, background): “Lancaster (2000) reviews the history of the problem since then.”
The Statistical Analysis of Roll Call Data (2004, background): “The usual optimality properties of conventional estimators, such as maximum likelihood, may not hold when, as in this case, the number of parameters is a function of the sample size (see Lancaster 2000 for a recent survey).”
GMM estimation of social interaction models with centrality (2010, methodology): “The social interaction models based on expected group means in Manski (1993) and Brock and Durlauf (2001), and the one in Lee (2007b) all have the endogenous e¤ect being an average of peersoutcomes. The row-normalized sociomatrix in Lee et al. (2007) has implicitly ruled out the possibility that an”