Unknown Heterogeneity, the EC-EM Algorithm, and Large T Approximation

Mahmoud El-Gamal and David Grether

Working papers from Wisconsin Madison - Social Systems

Abstract: We study a panel structure with n subjects/entities being observed over T periods. We consider a class of models for each subject's data generating precess, and allow the unknown heterogeneity. In other words, we do not know many types we have, what the types are, and which subjects belong to each type. We propose a large T approximation to the posterior mode on the unknows through the Estimation/Classification (EC) algorithm of El-Gamal and Grether (1995) which is linear in n,T, and the unknown number of types.

Keywords: ECONOMETRICS; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: C20 C23 (search for similar items in EconPapers)
Pages: 27 pages
Date: 1996
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Citations: View citations in EconPapers (3)

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Working Paper: Unknown Heterogeneity, the EC-EM Algorithm, and the Large T Approximation (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:att:wimass:9622

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