Firth (1993) introduced a method for reducing the bias of the maximum likelihood estimator. Here it is shown that the approach is also effective in reducing the sensitivity of inferential procedures to incidental parameters.
Lunardon, N. (2018). On bias reduction and incidental parameters. BIOMETRIKA, 105(1), 233-238 [10.1093/biomet/asx079].
On bias reduction and incidental parameters
Lunardon, N
2018
Abstract
Firth (1993) introduced a method for reducing the bias of the maximum likelihood estimator. Here it is shown that the approach is also effective in reducing the sensitivity of inferential procedures to incidental parameters.
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