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Record W2491891979 · doi:10.1016/s0731-9053(03)17011-9

BAYESIAN ANALYSIS OF MISSPECIFIED MODELS WITH FIXED EFFECTS

2004· book-chapter· en· W2491891979 on OpenAlex
Tiemen Woutersen

Why this work is in the frame

A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.

fundA Canadian funder is recorded on the work.
no affNo Canadian affiliation: this work is invisible to an affiliation-only frame.
No Canadian affiliation. An affiliation-only frame, the usual design, would never have seen this work. It is one of the works that make the case for inverting the frame.

Bibliographic record

VenueAdvances in econometrics · 2004
Typebook-chapter
Languageen
FieldEconomics, Econometrics and Finance
TopicSpatial and Panel Data Analysis
Canadian institutionsnot available
FundersSocial Sciences and Humanities Research Council of Canada
KeywordsEstimatorMathematicsBayesian probabilityCovarianceStatisticsFixed effects modelApplied mathematicsEconometricsPanel data

Abstract

fetched live from OpenAlex

One way to control for the heterogeneity in panel data is to allow for time-invariant, individual specific parameters. This fixed effect approach introduces many parameters into the model which causes the “incidental parameter problem”: the maximum likelihood estimator is in general inconsistent. Woutersen (2001) shows how to approximately separate the parameters of interest from the fixed effects using a reparametrization. He then shows how a Bayesian method gives a general solution to the incidental parameter for correctly specified models. This paper extends Woutersen (2001) to misspecified models. Following White (1982), we assume that the expectation of the score of the integrated likelihood is zero at the true values of the parameters. We then derive the conditions under which a Bayesian estimator converges at rate N where N is the number of individuals. Under these conditions, we show that the variance-covariance matrix of the Bayesian estimator has the form of White (1982). We illustrate our approach by the dynamic linear model with fixed effects and a duration model with fixed effects.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.000
metaresearch head score (Gemma)0.000
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesMeta-epidemiology (narrow), Insufficient payload (model declined to judge)
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Theoretical or conceptual · Consensus signal: Theoretical or conceptual
GenreCandidate signal: Other · Consensus signal: none
Teacher disagreement score0.866
Threshold uncertainty score1.000

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0000.000
Meta-epidemiology (narrow)0.0010.001
Meta-epidemiology (broad)0.0020.001
Bibliometrics0.0080.003
Science and technology studies0.0000.000
Scholarly communication0.0000.001
Open science0.0010.000
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0020.000

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.033
GPT teacher head0.213
Teacher spread0.180 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it