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A Note on the Efficient SemiparametricEstimation of Some Exponential PanelModels

Published online by Cambridge University Press:  11 February 2009

Jinyong Hahn
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Abstract

This paper investigates the semiparametric efficiencyof the conditional maximum likelihood estimation insome panel models. The nonparametric component ofthe model is the unknown distribution of the fixedeffect. For the exponential panel model, thereexists a complete sufficient statistic for the fixedeffect. When the complete sufficient statistic doesnot depend on the parameter of interest, theconditional maximum likelihood estimator (CMLE)achieves the semiparametric efficiency bound. Inparticular, the CMLE is semiparametrically efficientfor the panel Poisson regression model and the panelnegative binomial model.

Information

Type
Brief Report
Information
Econometric Theory , Volume 13 , Issue 4 , February 1997 , pp. 583 - 588
Copyright
Copyright © Cambridge University Press 1997

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References

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