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On the problem of optimal inference for time heterogeneous data with error components regression structure

Author

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  • Jonsson, Robert

    (Department of Economics, School of Economics and Commercial Law, Göteborg University)

Abstract

Time heterogeneity, or the fact that subjects are measured at different times, occurs frequently in non-experimental situations. For time heterogeneous data having error components regression structure it is demonstrated that under customary normality assumptions there is no estimation method based on Maximum Likelihood, Least Squares, Within-subject or Between-subject comparisons that is generally superior when estimating the slope of the regression line. However, in some situations it is possible to give guidelines for the choice of an optimal procedure. These are expressed in terms of the variability of the times for the measurements and also of the inter-subject correlation. The results are demonstrated on data from a longitudinal medical study.

Suggested Citation

  • Jonsson, Robert, 2003. "On the problem of optimal inference for time heterogeneous data with error components regression structure," Working Papers in Economics 110, University of Gothenburg, Department of Economics.
    • Handle: RePEc:hhs:gunwpe:0110
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    File URL: http://hdl.handle.net/2077/2820
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    References listed on IDEAS

    as
    1. Petzold, Max & Jonsson, Robert, 2003. "Maximum Likelihood Ratio based small-sample tests for random coefficients in linear regression," Working Papers in Economics 102, University of Gothenburg, Department of Economics.
    2. Taylor, William E., 1980. "Small sample considerations in estimation from panel data," Journal of Econometrics, Elsevier, vol. 13(2), pages 203-223, June.
    3. Maddala, G S, 1971. "The Use of Variance Components Models in Pooling Cross Section and Time Series Data," Econometrica, Econometric Society, vol. 39(2), pages 341-358, March.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Error components regression; Time heterogeneity; Optimal estimators; Efficiency; Test power;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General

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