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

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Author Info

  • El-Gamal, M.
  • Grether, D.M.

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.

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Bibliographic Info

Paper provided by Wisconsin Madison - Social Systems in its series Working papers with number 9622.

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Length: 27 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:att:wimass:9622

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Postal: UNIVERSITY OF WISCONSIN MADISON, SOCIAL SYSTEMS RESEARCH INSTITUTE(S.S.R.I.), MADISON WISCONSIN 53706 U.S.A.

Related research

Keywords: ECONOMETRICS; ECONOMIC MODELS;

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Cited by:
  1. repec:att:wimass:9703 is not listed on IDEAS
  2. Isaac C. Rischall, . "The Effect of Migration on Earnings and Welfare Benefit Receipt," Canadian International Labour Network Working Papers 28, McMaster University.

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