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A variety of other approaches to constructing modified profile likelihoods are shown to yield equivalent results. However, the global maximizer of the adjusted likelihood lies at infinity for any sample size, and the adjusted profile score has multiple zeros. Consistent parameter estimates are obtained as local maximizers inside or on an ellipsoid centered at the maximum likelihood estimator.<\/jats:p>","DOI":"10.1017\/s0266466615000146","type":"journal-article","created":{"date-parts":[[2015,5,11]],"date-time":"2015-05-11T06:57:03Z","timestamp":1431327423000},"page":"1178-1215","source":"Crossref","is-referenced-by-count":37,"title":["LIKELIHOOD INFERENCE IN AN AUTOREGRESSION WITH FIXED EFFECTS"],"prefix":"10.1017","volume":"32","author":[{"given":"Geert","family":"Dhaene","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Koen","family":"Jochmans","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2015,5,11]]},"reference":[{"key":"S0266466615000146_ref12","doi-asserted-by":"publisher","DOI":"10.1198\/073500104000000532"},{"key":"S0266466615000146_ref17","doi-asserted-by":"crossref","first-page":"189","DOI":"10.1111\/j.2517-6161.1996.tb02075.x","article-title":"Information bias and adjusted profile likelihoods","volume":"58","author":"DiCiccio","year":"1996","journal-title":"Journal of the Royal Statistical Society, Series B"},{"key":"S0266466615000146_ref8","doi-asserted-by":"crossref","first-page":"489","DOI":"10.3982\/ECTA6895","article-title":"Robust priors in nonlinear panel data models","volume":"77","author":"Arellano","year":"2009","journal-title":"Econometrica"},{"key":"S0266466615000146_ref28","doi-asserted-by":"publisher","DOI":"10.1111\/1467-937X.t01-1-00025"},{"key":"S0266466615000146_ref42","unstructured":"Woutersen T . 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(2007) An adjusted profile likelihood for non-stationary panel data models with incidental parameters. Mimeo, K.U. 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