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Summary The problem of obtaining consistent estimates for structural parameters in the presence of infinitely many incidental parameters was discussed first by Neyman and Scott (1948). In this paper a maximum-likelihood method based on the conditional distribution given minimal sufficient statistics for the incidental parameters is suggested. It is proved that conditional maximum-likelihood estimates in the regular case are consistent and asymptotically normally distributed with a simple asymptotic variance. The efficiency problem of this new estimator is discussed in particular with respect to some situations with ancillary information.
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Erling B. Andersen (Wed,) studied this question.
www.synapsesocial.com/papers/69d973f12a25b240b7a3c4f0 — DOI: https://doi.org/10.1111/j.2517-6161.1970.tb00842.x
Erling B. Andersen
Journal of the Royal Statistical Society Series B (Statistical Methodology)
Copenhagen Business School
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