Journal
JOURNAL OF ECONOMETRICS
Volume 95, Issue 2, Pages 391-413Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/S0304-4076(99)00044-5
Keywords
incidental parameters; Bayes; nuisance parameters; maximum likelihood
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This paper was written to mark the 50th anniversary of Neyman and Scott's Econometrics paper defining the incidental parameter problem. It surveys the history both of the paper and of the problem in the statistics and econometrics literature. (C) 2000 Elsevier Science S.A. All rights reserved.
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