학술논문
Likelihood Based Model Selection in the Presence of Incidental Parameters
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- 영문명
- 발행기관
- 한국계량경제학회
- 저자명
- Yoonseok Lee
- 간행물 정보
- 『한국계량경제학회 학술대회 논문집』2009년 하계학술대회, 1~31쪽, 전체 31쪽
- 주제분류
- 경제경영 > 경제학
- 파일형태
- 발행일자
- 2009.08.30
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국문 초록
영문 초록
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. 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 fixed individual effects.
목차
1 Introduction
2 Incidental Parameters Problem
3 Profile Likelihood and Kullback-Leibler Divergence
4 Lag Order Selection in Dynamic Panel Models
5 Simulations
6 Concluding Remarks
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