Model selection in the presence of incidental parameters

• Main Authors: LEE, Yeonseok, PHILLIPS, Peter C. B.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: (Adaptive) model selection; Incidental parameters; Profile likelihood; Kullback-Leibler information; Integrated likelihood; Bias-reducing prior; Fixed effects; Lag order; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2149; https://ink.library.smu.edu.sg/context/soe_research/article/3149/viewcontent/1_s2.0_S0304407615000810_main.pdf
• Institution: Singapore Management University

This paper considers model selection in panels where incidental parameters are present. Primary interest centers on selecting a model that best approximates the underlying structure involving parameters that are common within the panel. It is well known that conventional model selection procedures a...