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November 2010 Does reference prior alleviate the incidental parameter problem?
Mário de Castro, Vera L. D. Tomazella
Braz. J. Probab. Stat. 24(3): 509-512 (November 2010). DOI: 10.1214/09-BJPS108

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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Mário de Castro. Vera L. D. Tomazella. "Does reference prior alleviate the incidental parameter problem?." Braz. J. Probab. Stat. 24 (3) 509 - 512, November 2010. https://doi.org/10.1214/09-BJPS108

Information

Published: November 2010
First available in Project Euclid: 2 August 2010

Digital Object Identifier: 10.1214/09-BJPS108

Rights: Copyright © 2010 Brazilian Statistical Association

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Vol.24 • No. 3 • November 2010
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