The incidental parameter problem since 1948

A Correction Function Approach to Solve the Incidental Parameter Problem

Following Lancaster (2002), we propose a strategy to solve the incidental parameter problem. The method is demonstrated under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is unavailable, such as the linear AR(p) panel model. For the AR(p) model, there exists a correction function to fix the incidental parameter problem when t...

Profile-score Adjustments for Incidental-parameter Problems

We propose a scheme of iterative adjustments to the profile score to deal with incidental-parameter bias in models for stratified data with few observations on a large number of strata. The first-order adjustment is based on a calculation of the profile-score bias and evaluation of this bias at maximum-likelihood estimates of the incidental parameters. If the bias does not depend on the inciden...

Evaluation of Incidental Findings on Lumbosacral MRI in Patients with Low Back Pain

Background & Aims: Low back pain is one of the most common problems and a symptom-related reason for visits to a physician, and one of the important causes of disability. It may also impose great costs on the individual and the health system. Most patients with back pain will recover within 4 to 6 weeks. One of the best paraclinical diagnostic methods is magnetic resonance imaging (MRI), which ...

Instrumental Variable Quantile Regressions in Large Panels with Fixed Effects

This paper studies panel quantile regression models with endogeneity and additive fixed effects. We focus on static panel model where regressors and instruments are not predetermined. The fixed effect approach causes an incidental parameter bias in the estimates of the parameters of interest, and we characterize this bias under an asymptotic where both panel dimensions become large. We encounte...

A likelihood-based approximate solution to the incidental parameter problem in dynamic nonlinear models with multiple effects