Estimation of a stratified error-components model

• 成果类型: Article
• 署名作者: Phillips, RF
• 署名单位: George Washington University
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/1468-2354.t01-1-00078
• 发表日期: 2003
• 页码: 501-521
• 关键词: likelihood ratio test; criminal careers; Poisson

摘要

This article shows that the presence of incidental parameters in Baltagi and Griffin's (International Economic Review 29 (1988), 745-53) generalized error-components model implies there is no guarantee feasible and true GLS estimators have the same asymptotic distribution. The article then considers a related stratified error-components model that has no incidental parameters. In this model, unobserved heterogeneity occurs through variances changing across strata. The article provides an EM algorithm for calculating estimates of the model's parameters without assuming observations can be classified into strata, derives a bootstrap test for identifying the number of strata, and applies the new methods in an example.