Does reference prior alleviate the incidental parameter problem?

Does reference prior alleviate the incidental parameter problem?

Mário de Castro and Vera L. D. Tomazella

Source: Braz. J. Probab. Stat. Volume 24, Number 3 (2010), 509-512.

Abstract

In this note we deal with a panel data model with fixed effects. We show that a Bayesian procedure based on the reference prior suffers from the incidental parameter problem, as also happens with the Jeffrey’s prior [Econom. Lett. 82 (2004) 135–138]. Using an alternative prior distribution we present a solution to the problem.

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Keywords: Reference prior; incidental parameter problem

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Links and Identifiers

Permanent link to this document: http://projecteuclid.org/euclid.bjps/1280754499
Digital Object Identifier: doi:10.1214/09-BJPS108

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References

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