IDEAS home Printed from https://ideas.repec.org/a/ier/iecrev/v44y2003i2p501-521.html
   My bibliography  Save this article

Estimation of a Stratified Error-Components Model

Author

Listed:
  • Robert F. Phillips

Abstract

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. Copyright 2003 By The Economics Department Of The University Of Pennsylvania And Osaka University Institute Of Social And Economic Research Association.

Suggested Citation

  • Robert F. Phillips, 2003. "Estimation of a Stratified Error-Components Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 501-521, May.
    • Handle: RePEc:ier:iecrev:v:44:y:2003:i:2:p:501-521
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Georges Bresson & Cheng Hsiao & Alain Pirotte, 2011. "Assessing the contribution of R&D to total factor productivity—a Bayesian approach to account for heterogeneity and heteroskedasticity," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(4), pages 435-452, December.
    2. Fuhrer, Adrian & Hock, Thorsten, 2023. "Uncertainty in the Black–Litterman model: Empirical estimation of the equilibrium," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 251-275.
    3. Baltagi, Badi H. & Bresson, Georges & Pirotte, Alain, 2006. "Joint LM test for homoskedasticity in a one-way error component model," Journal of Econometrics, Elsevier, vol. 134(2), pages 401-417, October.
    4. Platoni, Silvia & Barbieri, Laura & Moro, Daniele & Sckokai, Paolo, 2020. "Heteroscedastic stratified two-way EC models of single equations and SUR systems," Econometrics and Statistics, Elsevier, vol. 15(C), pages 46-66.
    5. Robert Phillips, 2003. "Some Monte Carlo results for a generalized error component model with heteroskedastic disturbances," Economics Bulletin, AccessEcon, vol. 3(15), pages 1-4.
    6. Robert Phillips, 2008. "On calculating estimates of stratified error-components models," Economics Bulletin, AccessEcon, vol. 3(75), pages 1-10.
    7. Erik Meijer & Susann Rohwedder & Tom Wansbeek, 2008. "Prediction of Latent Variables in a Mixture of Structural Equation Models, with an Application to the Discrepancy Between Survey and Register Data," Working Papers WR-584, RAND Corporation.
    8. Erik Meijer & Susann Rohwedder & Tom Wansbeek, 2008. "Prediction of Latent Variables in a Mixture of Structural Equation Models, with an Application to the Discrepancy Between Survey and Register Data," Working Papers 584, RAND Corporation.
    9. Montes-Rojas, Gabriel & Sosa-Escudero, Walter, 2011. "Robust tests for heteroskedasticity in the one-way error components model," Journal of Econometrics, Elsevier, vol. 160(2), pages 300-310, February.
    10. repec:ebl:ecbull:v:3:y:2003:i:15:p:1-4 is not listed on IDEAS
    11. repec:ebl:ecbull:v:3:y:2008:i:75:p:1-10 is not listed on IDEAS
    12. repec:hal:journl:peer-00768191 is not listed on IDEAS
    13. Greene, William, 2005. "Reconsidering heterogeneity in panel data estimators of the stochastic frontier model," Journal of Econometrics, Elsevier, vol. 126(2), pages 269-303, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ier:iecrev:v:44:y:2003:i:2:p:501-521. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley-Blackwell Digital Licensing or the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/deupaus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.