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Modified-likelihood estimation of the b-model

 

Notice

Type:   Working paper
 
Titre:   Modified-likelihood estimation of the b-model
 
Auteur(s):   Jochmans, Koen (1982-...) - Département d'économie (Auteur)
 
Date de publication:   2016-02
 
Collection:   Sciences Po Economics Discussion Papers  :  2016-01
 
Mots-clés:   [en] asymptotic bias, b-model, Bradley-Terry model, fixed effects, modified profile likelihood, paired comparisons, matching, network formation, undirected random graph
 
Résumé:   [en] We consider point estimation and inference based on modifications of the profile likelihood in models for dyadic interactions between agents featuring n agent-specific parameters. This setup covers the b-model of network formation and generalizations thereof. The maximum-likelihood estimator of such models has bias and standard deviation of O(n−1) and so is asymptotically biased. Estimation based on modified likelihoods leads to estimators that are asymptotically unbiased and likelihood-ratio tests that exhibit correct size. We apply the modifications to versions of the b-model for network formation and of the Bradley-Terry model for paired comparisons.
 
 

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