On parameters estimation procedures in multilevel models

Pier Alda Ferrari and Nadia Solaro ()

Departmental Working Papers from Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano

Abstract: We examine maximum likelihood estimation procedures in multilevel models re-latedto two-level hierarchically structured data. Usually, for fixed effects and variance com-ponentsestimation, multivariate normal distribution is assumed. Here we consider for randomeffects multivariate exponential power distribution (MEP), which represents one of the possiblegeneralizations of multivariate normal distribution. We examine robustness of maximum like-lihoodestimators under normal assumption when, indeed, random effects are MEP distributed. The study is conducted through MC simulation procedures

Date: 2004-01-01
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:mil:wpdepa:2004-20

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