skip to content

Faculty of Economics

Journal Cover

Dhaene, G. and Jochmans, K.

Likelihood Inference in an Autoregression with Fixed Effects

Econometric Theory

Vol. 32(5) pp. 1178-1215 (2016)

Abstract: We calculate the bias of the profile score for the regression coefficients in a multistratum autoregressive model with stratum-specific intercepts. The bias is free of incidental parameters. Centering the profile score delivers an unbiased estimating equation and, upon integration, an adjusted profile likelihood. A variety of other approaches to constructing modified profile likelihoods are shown to yield equivalent results. However, the global maximizer of the adjusted likelihood lies at infinity for any sample size, and the adjusted profile score has multiple zeros. Consistent parameter estimates are obtained as local maximizers inside or on an ellipsoid centered at the maximum likelihood estimator.

Author links: Koen Jochmans  

Publisher's Link: https://doi.org/10.1017/S0266466615000146



Papers and Publications



Recent Publications


Faraglia, E., Marcet, A., Oikonomou, R. and Scott, A. Government Debt management: the Short and the Long of it Review of Economic Studies [2019]

Galeotti, A., Golub, B. and Goyal, S. Targeting Interventions in Networks Econometrica [2020]

Aidt, T. S., Asatryan, Z., Badalyan, L. and Heinemann, F. Vote Buying or (Political) Business (Cycles) as Usual? Review of Economics and Statistics [2020]

Elliott, M., Georg, C-P. and Hazell, J. Systemic Risk Shifting in Financial Networks Journal of Economic Theory [2021]