Robustness of parameter estimation procedures in multilevel models when random effects are MEP distributed

Nadia Solaro and Pier Alda Ferrari
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Nadia Solaro: University of Milan-Bicocca, Milan, Italy

No unimi-1013, UNIMI - Research Papers in Economics, Business, and Statistics from Universitá degli Studi di Milano

Abstract: In this paper we examine maximum likelihood estimation procedures in multilevel models for two level nesting structures. Usually, for fixed effects and variance components estimation, level-one error terms and random effects are assumed to be normally distributed. Nevertheless, in some circumstances this assumption might not be realistic, especially as concerns random effects. Thus we assume for random effects the family of multivariate exponential power distributions (MEP); subsequently, by means of Monte Carlo simulation procedures, we study robustness of maximum likelihood estimators under normal assumption when, actually, random effects are MEP distributed.

Keywords: Hierarchical data; ML and REML estimation; Multilevel model; Multivariate exponential power distribution (search for similar items in EconPapers)
Date: 2005-10-03
Note: oai:cdlib1:unimi-1013
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