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On bias reduction and incidental parameters

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  • N Lunardon

Abstract

Summary Firth (1993) introduced a method for reducing the bias of the maximum likelihood estimator. Here it is shown that the approach is also effective in reducing the sensitivity of inferential procedures to incidental parameters.

Suggested Citation

  • N Lunardon, 2018. "On bias reduction and incidental parameters," Biometrika, Biometrika Trust, vol. 105(1), pages 233-238.
    • Handle: RePEc:oup:biomet:v:105:y:2018:i:1:p:233-238.
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    File URL: http://hdl.handle.net/10.1093/biomet/asx079
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    Cited by:

    1. 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.
    2. 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.

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