Group Invariance, Likelihood Ratio Tests, and the Incidental Parameter Problem in a High-Dimensional Linear Model
Year of publication: |
2013-01
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Authors: | Hallin, Marc ; Moreira J., Marcelo ; Onatski, Alexei |
Institutions: | European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management |
Subject: | panel data models | factor model | incidental parameters | invariance | integrated likelihood | minimax | likelihood ratio test |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published by: The text is part of a series ECARES Working Papers Number ECARES 2013-04 23 pages long |
Classification: | C12 - Hypothesis Testing ; C44 - Statistical Decision Theory; Operations Research |
Source: |
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Kasahara, Hiroyuki, (2006)
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