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:

Publisher's Link:

Papers and Publications

Recent Publications

Elliott, M., Golub, B. and Leduc, M. V. Supply Network Formation and Fragility American Economic Review [2022]

Bhattacharya, D., Dupas, P. and Kanaya, S. Demand and Welfare Analysis in Discrete Choice Models with Social Interactions Review of Economic Studies [2023]

Evans, R. A. and Reiche, S. K. When Is a Contrarian Adviser Optimal? American Economic Journal: Microeconomics [2023]

Ajzenman, N., Cavalcanti, T. and Da Mata, D More than Words: Leaders' Speech and Risky Behavior During a Pandemic American Economic Journal: Economic Policy [2023]