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Analysis of Covariance With Qualitative Data

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Author Info
Gary Chamberlain
Abstract

In data with a group structure, incidental parameters are included to control for missing variables. Applications include longitudinal data and sibling data. In general, the joint maximum likelihood estimator of the structural parameters is not consistent as the number of groups increases, with a fixed number of observations per group. Instead a conditional likelihood function is maximized, conditional on sufficient statistics for the incidental parameters. In the logit case, a standard conditional logit program can be used. Another solution is a random effects model, in which the distribution of the incidental parameters may depend upon the exogenous variables.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 0325.

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Date of creation: Jul 1982
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Handle: RePEc:nbr:nberwo:0325

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  1. Chamberlain, Gary & Griliches, Zvi, 1975. "Unobservables with a Variance-Components Structure: Ability, Schooling, and the Economic Success of Brothers," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 16(2), pages 422-49, June. [Downloadable!] (restricted)
  2. Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January. [Downloadable!] (restricted)
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  1. Criddle, Keith R. & Herrmann, Mark & Hamel, Charles & Lee, S. Todd, 2003. "Participation Decisions, Angler Welfare, And The Regional Economic Impact Of Sportfishing," Marine Resource Economics, Marine Resources Foundation, vol. 18(4). [Downloadable!]
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