Article

Modified-likelihood estimation of fixed-effect model for dyadic data

Koen Jochmans

Abstract

We consider point estimation and inference based on modifications of the profile likelihood in models for dyadic interactions between n agents featuring agent-specific parameters. The maximum-likelihood estimator of such models has bias and standard deviation of order n-1 and so is asymptotically biased. Estimation based on modified likelihoods leads to estimators that are asymptotically unbiased and likelihood ratio tests that exhibit correct size.

Keywords

Asymptotic bias; Dyadic data; Fixed effects; Undirected random graph;

JEL codes

  • C23: Panel Data Models • Spatio-temporal Models

Replaces

Koen Jochmans, Modified-likelihood estimation of fixed-effect models for dyadic data, TSE Working Paper, n. 24-1502, May 2023.

Reference

Koen Jochmans, Modified-likelihood estimation of fixed-effect model for dyadic data, Journal of the Spanish Economic Association, vol. 14, 2023, pp. 417–433.

Published in

Journal of the Spanish Economic Association, vol. 14, 2023, pp. 417–433