Likelihood Based Model Selection in the Presence of Incidental Parameters
نویسنده
چکیده
This paper considers model selection problem in the presence of incidental parameters. The main interest is in selecting the structure of the model in the common parameters after concentrating out the incidental parameters. Using KLIC based on the pro le likelihood, a new model selection information criterion is developed, which impose heavier penalties than those of the standard information criteria. As a particular example, a lag order selection criterion is examined in the context of dynamic panel models with xed individual e¤ects. Keywords: Model selection, incidental parameters, pro le likelihood, lag order, dynamic panel, xed e¤ects. JEL Classi cations: C23
منابع مشابه
Yoonseok Lee University of Michigan “ Model Selection in the Presence of Incidental Parameters ”
This paper considers model selection of nonlinear panel data models in the presence of incidental parameters (i.e., large-dimensional nuisance parameters). The main interest is in selecting the model that approximates best the structure with the common parameters after concentrating out the incidental parameters. New model selection information criteria are developed that use either the Kullbac...
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