On calculating estimates of stratified error-components models

Robert Phillips

Economics Bulletin, 2008, vol. 3, issue 75, 1-10

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.

JEL-codes: C2 (search for similar items in EconPapers)
Date: 2008-11-28
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