Does Jeffrey's prior alleviate the incidental parameter problem?

Economics Letters

Volumn 82, Issue 1, 2004, Pages 135-138

  Hahn, Jinyong ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Incidental parameter problem; Jeffrey's prior

Indexed keywords

EID: 0346973008     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2003.04.001     Document Type: Article

References (8)

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6. Nickell S. Biases in dynamic models with fixed effects Econometrica 49 1981 1417-1426
7. Woutersen, T., 2002. Robustness against incidental parameters. Unpublished working paper.
8. Zellner A. An Introduction to Bayesian Inference in Econometrics 1971 Wiley New York