IDEAS home Printed from https://ideas.repec.org/a/bla/jorssb/v82y2020i5p1349-1369.html

Modified likelihood root in high dimensions

Author

Listed:
  • Yanbo Tang
  • Nancy Reid

Abstract

We examine a higher order approximation to the significance function with increasing numbers of nuisance parameters, based on the normal approximation to an adjusted log‐likelihood root. We show that the rate of the correction for nuisance parameters is larger than the correction for non‐normality, when the parameter dimension p is O(nα) for α

Suggested Citation

  • Yanbo Tang & Nancy Reid, 2020. "Modified likelihood root in high dimensions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 82(5), pages 1349-1369, December.
    • Handle: RePEc:bla:jorssb:v:82:y:2020:i:5:p:1349-1369
    DOI: 10.1111/rssb.12389
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/rssb.12389
    Download Restriction: no
    File URL: https://libkey.io/10.1111/rssb.12389?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. N. Sartori, 2003. "Modified profile likelihoods in models with stratum nuisance parameters," Biometrika, Biometrika Trust, vol. 90(3), pages 533-549, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Geert Dhaene & Koen Jochmans, 2011. "Profile-score Adjustements for Nonlinearfixed-effect Models," Working Papers hal-01073733, HAL.
    2. Cavit Pakel & Neil Shephard & Kevin Sheppard & Robert F. Engle, 2021. "Fitting Vast Dimensional Time-Varying Covariance Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(3), pages 652-668, July.
    3. Cavit Pakel & Neil Shephard & Kevin Sheppard, 2009. "Nuisance parameters, composite likelihoods and a panel of GARCH models," OFRC Working Papers Series 2009fe03, Oxford Financial Research Centre.
    4. repec:spo:wpmain:info:hdl:2441/eu4vqp9ompqllr09ij4j0h0h1 is not listed on IDEAS
    5. Giuliana Cortese & Nicola Sartori, 2016. "Integrated likelihoods in parametric survival models for highly clustered censored data," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 22(3), pages 382-404, July.
    6. Johannes S. Kunz & Kevin E. Staub & Rainer Winkelmann, 2021. "Predicting individual effects in fixed effects panel probit models," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 184(3), pages 1109-1145, July.
    7. Dhaene, Geert & Jochmans, Koen, 2016. "Likelihood Inference In An Autoregression With Fixed Effects," Econometric Theory, Cambridge University Press, vol. 32(5), pages 1178-1215, October.
    8. repec:spo:wpmain:info:hdl:2441/1mc4dip81d9t8r0t57fe1h8lap is not listed on IDEAS
    9. Pakel, Cavit, 2019. "Bias reduction in nonlinear and dynamic panels in the presence of cross-section dependence," Journal of Econometrics, Elsevier, vol. 213(2), pages 459-492.
    10. Geert Dhaene & Koen Jochmans, 2015. "Split-panel Jackknife Estimation of Fixed-effect Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(3), pages 991-1030.
    11. Xuan Leng & Jiaming Mao & Yutao Sun, 2023. "Debiased Inference for Dynamic Nonlinear Panels with Multi-dimensional Heterogeneities," Papers 2305.03134, arXiv.org, revised Jan 2026.
    12. Ventura, Laura & Sartori, Nicola & Racugno, Walter, 2013. "Objective Bayesian higher-order asymptotics in models with nuisance parameters," Computational Statistics & Data Analysis, Elsevier, vol. 60(C), pages 90-96.
    13. Manuel Arellano & Jinyong Hahn, 2005. "Understanding Bias in Nonlinear Panel Models: Some Recent Developments," Working Papers wp2005_0507, CEMFI.
    14. Ruggero Bellio & Annamaria Guolo, 2016. "Integrated Likelihood Inference in Small Sample Meta-analysis for Continuous Outcomes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(1), pages 191-201, March.
    15. Lee, Yoonseok & Phillips, Peter C.B., 2015. "Model selection in the presence of incidental parameters," Journal of Econometrics, Elsevier, vol. 188(2), pages 474-489.
    16. Koen Jochmans, 2018. "Semiparametric Analysis of Network Formation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(4), pages 705-713, October.
    17. Geert Dhaene & Koen Jochmans, 2015. "Profile-score adjustments for incidental-parameter problems," Sciences Po publications info:hdl:2441/323dml6suu9, Sciences Po.
    18. repec:spo:wpecon:info:hdl:2441/f6h8764enu2lskk9p2m9mgp8l is not listed on IDEAS
    19. repec:spo:wpmain:info:hdl:2441/eu4vqp9ompqllr09j0031f620 is not listed on IDEAS
    20. Jochmans, Koen & Weidner, Martin, 2024. "Inference On A Distribution From Noisy Draws," Econometric Theory, Cambridge University Press, vol. 40(1), pages 60-97, February.
    21. Kunz, J.S.; & Staub, K.E.; & Winkelmann, R.;, 2018. "Predicting fixed effects in panel probit models," Health, Econometrics and Data Group (HEDG) Working Papers 18/23, HEDG, c/o Department of Economics, University of York.
    22. Luigi Pace & Alessandra Salvan & Laura Ventura, 2011. "Adjustments of profile likelihood through predictive densities," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(5), pages 923-937, October.
    23. Lee, Woojoo & Shi, Jian Qing & Lee, Youngjo, 2010. "Approximate conditional inference in mixed-effects models with binary data," Computational Statistics & Data Analysis, Elsevier, vol. 54(1), pages 173-184, January.
    24. repec:spo:wpecon:info:hdl:2441/dambferfb7dfprc9m052g20qh is not listed on IDEAS
    25. De Bin, Riccardo, 2016. "On the equivalence between conditional and random-effects likelihoods in exponential families," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 34-38.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jorssb:v:82:y:2020:i:5:p:1349-1369. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/rssssea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.