Modified-likelihood estimation of fixed-effect models for dyadic data

Résumé

We consider point estimation and inference based on modifications of the profile likelihood in models for dyadic interactions between n agents featuring agent-specific parameters. The maximum-likelihood estimator of such models has bias and standard deviation of order n-1 and so is asymptotically biased. Estimation based on modified likelihoods leads to estimators that are asymptotically unbiased and likelihood ratio tests that exhibit correct size.

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Codes JEL

Remplacé par

Koen Jochmans, « Modified-likelihood estimation of fixed-effect model for dyadic data », Journal of the Spanish Economic Association, vol. 14, 2023, p. 417–433.

Référence

Koen Jochmans, « Modified-likelihood estimation of fixed-effect models for dyadic data », TSE Working Paper, n° 24-1502, mai 2023.