Estimation of a generalized random-effects model: some ECME algorithms and Monte Carlo evidence

DOI10.1016/J.JEDC.2003.04.004MaRDI QIDQ953682zbMATH OpenOpenAlexFDO

Authors Robert F. Phillips

Publication date 6 November 2008

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2003.04.004

zbMATH Keywords

EM algorithmpanel datamixed effectserror componentsautocorrelated

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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Cites work

• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 1086057 (Why is no real title available?)
• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• A State-Space EM Algorithm for Longitudinal Data
• A note on the efficiency of the Cochrane-Orcutt estimator of the AR(1) regression model
• A transformation that will circumvent the problem of autocorrelation in an error-component model
• Efficient Inference in a Random Coefficient Regression Model
• Estimating the autocorrelated error model with trended data
• Estimation and hypothesis testing for collections of autoregressive time series
• Fast EM-type Implementations for Mixed Effects Models
• Generalized Estimation of Error Components Models with a Serially Correlated Temporal Effect
• Maximum Likelihood Computations with Repeated Measures: Application of the EM Algorithm
• Newton-Raphson and EM Algorithms for Linear Mixed-Effects Models for Repeated-Measures Data
• On the Retention of the First Observations in Serial Correlation Adjustment of Regression Models
• Random-Effects Models for Longitudinal Data
• The ECME algorithm: A simple extension of EM and ECM with faster monotone convergence
• The Use of Error Components Models in Combining Cross Section with Time Series Data

Cited in

(6)

• On Computing Maximum-Likelihood Estimates of the Unbalanced Two-Way Random-Effects Model
• Random effects in generalized linear models and the em algoritham
• Maximum likelihood estimation of random effects models
• Estimating and Predicting the General Random Effects Model
• A Monte Carlo study of REML and robust rank-based analyses for the random intercept mixed model
• Quasi maximum likelihood estimation of dynamic panel data models

Describes a project that uses

Uses Software

• bootstrap

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