IAER Seminar 127：Geert Dhaene -- 活动 -- 东北财经大学

【报告人简介】

Geert Dhaene，鲁汶大学（KU Leuven）计量经济学荣休教授。他的研究涵盖计量经济理论与应用方法，尤其关注面板数据模型、非线性估计及冗余参数等问题。Dhaene教授在计量经济学领域的学术贡献广受认可，其研究成果发表于Econometrica、The Review of Economic Studies、Journal of Econometrics、Econometric Theory 等国际顶级期刊。

【内容摘要】

We propose a scheme of iterative adjustments to the profile score to deal with incidental-parameter bias in models for stratified data with few observations on a large number of strata. The first-order adjustment is based on a calculation of the profile-score bias and evaluation of this bias at maximum-likelihood estimates of the incidental parameters. If the bias does not depend on the incidental parameters, the first-order adjusted profile score is fully recentered, solving the incidental-parameter problem. Otherwise, it is approximately recentered, alleviating the incidental-parameter problem. In the latter case, the adjustment can be iterated to give higher-order adjustments, possibly until convergence. The adjustments are generally applicable (e.g., not requiring parameter orthogonality) and lead to estimates that generally improve on maximum likelihood. We examine a range of nonlinear models with covariates. In many of them, we obtain an adjusted profile score that is exactly unbiased. In the others, we obtain approximate bias adjustments that yield much improved estimates, relative to maximum likelihood, even when there are only two observations per stratum.

【更多信息】

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撰稿：王杰审核：崔惠玉单位：高等经济研究院

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