Estimation in a model with incidental parameters
2002 (English)Report (Other academic)
We study the maximum likelihood method together with bootstrap analysis and other uncertainty measures in a situation with both structural and incidental parameters and a rather simple parametric setting. Our purpose is to study methods that can be generalised to and used in more complicated situations of similar nature.
Two different approaches to the incidental parameters are treated, one deterministic and one random. Both approaches are shown to give similar results. When analysing the asymptotic properties of the estimator of the structural parameter, the profile likelihood, the delta method and the bootstrap analysis seem to be equally good in the deterministic case. The bootstrap also works well with a random interpretation of the incidental parameters.
Place, publisher, year, edition, pages
2002. , 18 p.
LiTH-MAT-R, ISSN 0348-2960 ; 02
IdentifiersURN: urn:nbn:se:liu:diva-86858OAI: oai:DiVA.org:liu-86858DiVA: diva2:582890