Incidental Parameters Problem: The Case of Gompertz Model
Asian Journal of Probability and Statistics,
The order of bias of the fixed effects gompertz model is studied, using Monte Carlo approach. Performance criteria are bias and root mean squared errors. For fixed N, bias is found to decrease steadily between T=5 and T=20 but exhibits a mixture of increase and decline afterwards. At each value of T involved, bias steadily decreases with increased value of N. Bias is found to be at most 123%, due to the combination of minimum of each of N and T involved. Decrease in order of bias is found to be more definite with increased N at fixed T than with increased T at fixed N.
- fixed effects
- maximum likelihood
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