Bayesian analysis of misspecified models with fixed effects

被引:0
|
作者
Woutersen, T [1 ]
机构
[1] Univ Western Ontario, London, ON N6A 3K7, Canada
关键词
D O I
10.1016/S0731-9053(03)17011-9
中图分类号
F [经济];
学科分类号
02 ;
摘要
One way to control for the heterogeneity in panel data is to allow for time-invariant, individual specific parameters. This fixed effect approach introduces many parameters into the model which causes the "incidental parameter problem": the maximum likelihood estimator is in general inconsistent. Woutersen (2001) shows how to approximately separate the parameters of interest from the fixed effects using a reparametrization. He then shows how a Bayesian method gives a general solution to the incidental parameter for correctly specified models. This paper extends Woutersen (2001) to misspecified models. Following White (1982), we assume that the expectation of the score of the integrated likelihood is zero at the true values of the parameters. We then derive the conditions under which a Bayesian estimator converges at rate rootN where N is the number of individuals. Under these conditions, we show that the variance-covariance matrix of the Bayesian estimator has the form of White (1982). We illustrate our approach by the dynamic linear model with fixed effects and a duration model with fixed effects.
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页码:235 / 249
页数:15
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