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Consistent Parameter Estimation for Lagged Multilevel Models

Author

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  • Spencer, N.H.

Abstract

The estimation of parameters of lagged multilevel models is considered. This type of model is used in many application areas, including psychology and education, where changes in test results over time can be modelled. Standard estimation techniques are shown to give inconsistent results for this formulation of the multilevel model. For two simple assumptions concerni ng the nature of the model covariate a first and second difference instrument methods for consistent estimation are developed. Simulations are used to demonstrate their success in obtaining consistent parameter estimated. Use of the instrument methods with more complex multilevel models is considered.

Suggested Citation

  • Spencer, N.H., 1998. "Consistent Parameter Estimation for Lagged Multilevel Models," Papers 1998:19, University of Hertfordshire - Business Schoool.
    • Handle: RePEc:fth:hertbu:1998:19
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    Cited by:

    1. Neil H. Spencer & Antony Fielding, 2002. "A Comparison of Modelling Strategies for Value-Added Analyses of Educational Data," Computational Statistics, Springer, vol. 17(1), pages 103-116, March.
    2. Hend Gabr & Fiona Carmichael & Hui Li, 2019. "A Multilevel Simultaneous Equations Modelling Approach to Investigate the Relationship between Poverty and Labour-Force Participation among the Elderly in Egypt," International Journal of Environmental Sciences & Natural Resources, Juniper Publishers Inc., vol. 22(1), pages 01-12, October.

    More about this item

    Keywords

    ESTIMATOR ; STATISTICAL ANALYSIS;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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