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Estimation in a simple random effects model with nonnormal distributions

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  • D. R. Cox

Abstract

A simple structural model is considered involving the addition of two random variables representing between- and within-group variation. Methods for estimating the cumulants of the two components of variation are proposed, based on homogeneous polynomials in the data. Emphasis is placed on situations in which the number of observations per group is quite small. In some cases an essentially unique estimator is available, whereas in others there is a family of possible consistent estimators. The choice of the polynomial is considered. Copyright Biometrika Trust 2002, Oxford University Press.

Suggested Citation

  • D. R. Cox, 2002. "Estimation in a simple random effects model with nonnormal distributions," Biometrika, Biometrika Trust, vol. 89(4), pages 831-840, December.
    • Handle: RePEc:oup:biomet:v:89:y:2002:i:4:p:831-840
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    Cited by:

    1. Abhijit Mandal & Beste Hamiye Beyaztas & Soutir Bandyopadhyay, 2023. "Robust density power divergence estimates for panel data models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 75(5), pages 773-798, October.
    2. Liya Fu & You-Gan Wang, 2012. "Efficient Estimation for Rank-Based Regression with Clustered Data," Biometrics, The International Biometric Society, vol. 68(4), pages 1074-1082, December.
    3. Emma M. Iglesias & Garry D. A. Phillips, 2012. "Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models," Econometric Reviews, Taylor & Francis Journals, vol. 31(5), pages 532-557, September.
    4. Soberón, Alexandra & Stute, Winfried, 2017. "Assessing skewness, kurtosis and normality in linear mixed models," Journal of Multivariate Analysis, Elsevier, vol. 161(C), pages 123-140.
    5. Ping Wu & Li Xing Zhu, 2010. "An Orthogonality‐Based Estimation of Moments for Linear Mixed Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 37(2), pages 253-263, June.
    6. Iglesias Emma M, 2009. "Finite Sample Theory of QMLEs in ARCH Models with an Exogenous Variable in the Conditional Variance Equation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(2), pages 1-30, May.

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