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Does Jeffrey's prior alleviate the incidental parameter problem?

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  • Hahn, Jinyong

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  • Hahn, Jinyong, 2004. "Does Jeffrey's prior alleviate the incidental parameter problem?," Economics Letters, Elsevier, vol. 82(1), pages 135-138, January.
    • Handle: RePEc:eee:ecolet:v:82:y:2004:i:1:p:135-138
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    References listed on IDEAS

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    1. Jinyong Hahn & Guido Kuersteiner, 2002. "Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both "n" and "T" Are Large," Econometrica, Econometric Society, vol. 70(4), pages 1639-1657, July.
    2. Tony Lancaster, 2002. "Orthogonal Parameters and Panel Data," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 69(3), pages 647-666.
    3. Gary Chamberlain, 1980. "Analysis of Covariance with Qualitative Data," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 47(1), pages 225-238.
    4. Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-1426, November.
    5. Tiemen Woutersen, 2002. "Robustness against Incidental Parameters," University of Western Ontario, Departmental Research Report Series 20028, University of Western Ontario, Department of Economics.
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    Cited by:

    1. Manuel Arellano & Stéphane Bonhomme, 2009. "Robust Priors in Nonlinear Panel Data Models," Econometrica, Econometric Society, vol. 77(2), pages 489-536, March.

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