Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/65764
Authors: 
Li, Guangjie
Leon-Gonzalez, Roberto
Year of Publication: 
2009
Series/Report no.: 
Cardiff Economics Working Papers E2009/6
Abstract: 
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 the model is stationary with strictly exogenous regressors. MCMC algorithms are developed for parameter estimation and model comparison. The results based on the simulated data sets suggest that our method could achieve consistency in both parameter estimation and model selection.
Subjects: 
dynamic panel data model with fixed effect
incidental parameter problem
consistency in estimation
model selection
Bayesian model averaging
Markov chain Monte Carlo (MCMC)
JEL: 
C52
C11
C12
C13
C15
Document Type: 
Working Paper

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