Abstract
This paper presents a new quasi-profile loglikelihood with the standard kind of distributional limit behaviour, for inference about an arbitrary one-dimensional parameter of interest, based on unbiased estimating functions. The new function is obtained by requiring the corresponding quasi-profile score function to have bias and information bias of order O(1). We illustrate the use of the proposed pseudo-likelihood with an application to robust inference in linear models.
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Adimari, G., Ventura, L. Quasi-Profile Log Likelihoods for Unbiased Estimating Functions. Annals of the Institute of Statistical Mathematics 54, 235–244 (2002). https://doi.org/10.1023/A:1022425816250
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DOI: https://doi.org/10.1023/A:1022425816250