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On calculating estimates of stratified error-components models

Author

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  • Robert Phillips

    (George Washington University)

Abstract

This note provides an AECM (alternating expectation conditional maximization) algorithm for calculating maximum-likelihood estimates of stratified error-components models. An advantage it has over other algorithms is that it can be easily modified to incorporate useful restrictions on the variance components. The new algorithm is applied in an example that illustrates the variance restrictions.

Suggested Citation

  • Robert Phillips, 2008. "On calculating estimates of stratified error-components models," Economics Bulletin, AccessEcon, vol. 3(75), pages 1-10.
    • Handle: RePEc:ebl:ecbull:eb-08c20066
    as

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    References listed on IDEAS

    as
    1. Baltagi, Badi H. & Griffin, James M., 1983. "Gasoline demand in the OECD : An application of pooling and testing procedures," European Economic Review, Elsevier, vol. 22(2), pages 117-137, July.
    2. Robert F. Phillips, 2003. "Estimation of a Stratified Error-Components Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 501-521, May.
    3. Baltagi, Badi H & Griffin, James M, 1988. "A Generalized Error Component Model with Heteroscedastic Disturbances," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 29(4), pages 745-753, November.
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    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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