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Group Invariance, Likelihood Ratio Tests, and the Incidental Parameter Problem in a High-Dimensional Linear Model

par Hallin, Marc ;Moreira J., Marcelo;Onatski, Alexei
Publication Publié, 2013-01

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Titre:	Group Invariance, Likelihood Ratio Tests, and the Incidental Parameter Problem in a High-Dimensional Linear Model
Auteur:	Hallin, Marc; Moreira J., Marcelo; Onatski, Alexei
Statut de publication:	Publié, 2013-01
series:	ECARES Working Papers, ECARES 2013-04
Sujet CREF:	Economie
Sujet JEL:	Hypothesis Testing
	Statistical Decision Theory; Operations Research
Volumes/pages:	23 p.
Mots-clés:	panel data models
	factor model
	incidental parameters
	invariance
	integrated likelihood
	minimax
	likelihood ratio test
Langue:	Anglais
Identificateurs:	RePEc:eca:wpaper:2013/137736