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Sartori, N. (2002) Modifications to the profile likelihood in models with incidental nuisance parameters. [Working Paper] WORKING PAPER SERIES, 10/2002 . , PADOVA (Inedito)

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Abstract (english)

We study asymptotic properties of the profile and modified profile likelihoods in models for clustered data with incidental nuisance parameters. To his end , we use a two-index asymptotics setting. This means that both the sample size of the clusters, m, and the dimension of the nuisance parameter, q, may increase to infinity. It is shown that modified profile likelihoods give improvements, with respect to the profile likelihood, on consistency of estimates and on asymptotic distribution properties. In particular, the profile likelihood based statistics have the usual asymptotic distribution, provided that 1/m=o(q^(-1)) , while the analogous condition for modified profile likelihoods in 1/m=o(q^(-1/3)).


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EPrint type:Working Paper
Anno di Pubblicazione:July 2002
Key Words:Conditional likelihood; Incidental nuisance parameter; Modified profile likelihoods; Profile likelihood; Profile score bias; Two-index asymptotics.
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:7318
Depositato il:04 Nov 2014 12:58
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