Concepedia

Incidental Parameters Problem

The "Incidental Parameters Problem" is a statistical estimation challenge arising in panel data models with fixed effects, where the number of nuisance parameters grows with the sample size, leading to inconsistent maximum likelihood estimates due to the incidental parameters interfering with the consistent estimation of structural parameters.

87

Publications

8.3K

Citations

108

Authors

89

Institutions

Publications per year

2017–2026

13

Variants

Neyman-scott Problem

Parents

Publications

87

The incidental parameter problem since 1948

Tony Lancaster · Journal of Econometrics · 2000 · 1.1K citations

, , +2

Consistency of the Maximum Likelihood Estimator in the Presence of Infinitely Many Incidental Parameters

J. Kiefer, J. Wolfowitz · The Annals of Mathematical Statistics · 1956 · 1K citations · Full text

, , +14

Fixed Effects and Bias Due to the Incidental Parameters Problem in the Tobit Model

William H. Greene · Econometric Reviews · 2004 · 663 citations

, , +15

Jackknife and Analytical Bias Reduction for Nonlinear Panel Models

Jinyong Hahn, Whitney K. Newey · Econometrica · 2004 · 462 citations

, , +17

Split-panel Jackknife Estimation of Fixed-effect Models

Geert Dhaene, Koen Jochmans · The Review of Economic Studies · 2015 · 395 citations

, , +16

1–5 of 87

Authors

108

  1. IF
    Iván Fernández‐Val

    Boston University, United States

    8 publications · 773 citations

    8

    h-index

  2. JH
    Jinyong Hahn

    University of California, Los Angeles, United States

    7 publications · 866 citations

    7

    h-index

  3. MW
    Martin Weidner

    University College London, United Kingdom

    6 publications · 621 citations

    6

    h-index

  4. WH
    William H. Greene

    New York University, United States

    4 publications · 1.1K citations

    4

    h-index

  5. PC
    Peter C.B. Phillips

    Yale University, United States

    3 publications · 91 citations

    3

    h-index

1–5 of 108

Institutions

89

  1. Boston University

    Boston, United States

    7 h-index

    8 publications

    836 citations

  2. New York University

    New York, United States

    5 h-index

    5 publications

    1.2K citations

  3. University College London

    London, United Kingdom

    4 h-index

    4 publications

    430 citations

  4. UCLA Health

    Los Angeles, United States

    3 h-index

    3 publications

    302 citations

  5. University of California, Los Angeles

    Los Angeles, United States

    3 h-index

    3 publications

    102 citations

  6. Centro de Estudios Monetarios y Financieros

    Madrid, Spain

    3 h-index

    3 publications

    148 citations

  7. Singapore Management University

    Singapore, Singapore

    3 h-index

    3 publications

    91 citations

  8. University of Southern California

    Los Angeles, United States

    3 h-index

    3 publications

    57 citations

1–8 of 89

Venues

  1. Journal of Econometrics

    7 publications · 1.8K citations

    7

    h-index

  2. RePEc: Research Papers in Economics

    Repository · 6 publications · 421 citations

    6

    h-index

  3. SSRN Electronic Journal

    Repository · 6 publications · 220 citations

    6

    h-index

  4. Econometrica

    4 publications · 645 citations

    4

    h-index

  5. 4

    h-index

1–5