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


  • El-Gamal, M.
  • Grether, D.M.


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.

Suggested Citation

  • El-Gamal, M. & Grether, D.M., 1996. "Unknown Heterogeneity, the EC-EM Algorithm, and Large T Approximation," Working papers 9622, Wisconsin Madison - Social Systems.
  • Handle: RePEc:att:wimass:9622

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    Cited by:

    1. El-Gamal, M.A., 1997. "A Monte Carlo Study of Ec-Estimation in Panel Data Models with Limited Dependent Variables and Heterogeneity," Working papers 9703, Wisconsin Madison - Social Systems.
    2. Isaac C. Rischall, "undated". "The Effect of Migration on Earnings and Welfare Benefit Receipt," Canadian International Labour Network Working Papers 28, McMaster University.

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    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models


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