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On parameters estimation procedures in multilevel models

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Author Info
Pieralda FERRARI ()
Nadia SOLARO ()

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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

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Paper provided by Department of Economics University of Milan Italy in its series Departemental Working Papers with number 2004-20.

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Date of creation: 01 Jan 2004
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Handle: RePEc:mil:wpdepa:2004-20

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  1. Pieralda FERRARI & Nadia SOLARO, 2004. "Robustezza delle procedure di stima dei parametri nei modelli multilivello," Departemental Working Papers 2004-19, Department of Economics University of Milan Italy. [Downloadable!]
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This page was last updated on 2009-11-26.

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