Does reference prior alleviate the incidental parameter problem?
de Castro, Mário ; Tomazella, Vera L. D.
Braz. J. Probab. Stat., Tome 24 (2010) no. 1, p. 509-512 / Harvested from Project Euclid
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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.
Publié le : 2010-11-15
Classification:  Reference prior,  incidental parameter problem 
@article{1280754499,
     author = {de Castro, M\'ario and Tomazella, Vera L. D.},
     title = {Does reference prior alleviate the incidental parameter problem?},
     journal = {Braz. J. Probab. Stat.},
     volume = {24},
     number = {1},
     year = {2010},
     pages = { 509-512},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1280754499}
}

de Castro, Mário; Tomazella, Vera L. D. Does reference prior alleviate the incidental parameter problem?. Braz. J. Probab. Stat., Tome 24 (2010) no. 1, pp.  509-512. http://gdmltest.u-ga.fr/item/1280754499/