AISM 54, 235-244
© 2002 ISM
(Received April 3, 2000; revised October 20, 2000)
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.
Key words and phrases: Estimating equation, M-estimator, profile likelihood, quasi-likelihood, second Bartlett identity.