incidental parameter problem is a problem


 

Incidental parameter problem is a problem which sometimes occurs when the number of parameters increases in the tandem with the number of observations. For instance, models for panel studies might include individual-specific fixed intercepts, called incidental parameters, additionally to the structural parameters of interest, creating the number of parameters tend to infinity because the number of individuals tends to infinity. In some of the models, such as logistic models with individual-specific fixed intercepts, this leads to the inconsistent maximum likelihood estimates of the structural parameters. 

 

 

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Advanced Statistics: incidental parameter problem is a problem
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