Likelihood Based Model Selection in the Presence of Incidental Parameters

نویسنده

  • Yoonseok Lee
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

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تاریخ انتشار 2009