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

DOI10.1016/j.jedc.2003.04.004zbMath1200.65004OpenAlexW1987927571MaRDI QIDQ953682

Robert F. Phillips

Publication date: 6 November 2008

Published in: Journal of Economic Dynamics \& 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 dataerror componentsmixed effectsautocorrelated

Mathematics Subject Classification ID

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

Related Items (2)

On Computing Maximum-Likelihood Estimates of the Unbalanced Two-Way Random-Effects Model ⋮ Quasi maximum likelihood estimation of dynamic panel data models

Uses Software

• bootstrap

Cites Work

• Unnamed Item
• Unnamed Item
• Random-Effects Models for Longitudinal Data
• A note on the efficiency of the Cochrane-Orcutt estimator of the AR(1) regression model
• Estimating the autocorrelated error model with trended data
• A transformation that will circumvent the problem of autocorrelation in an error-component model
• On the Retention of the First Observations in Serial Correlation Adjustment of Regression Models
• Estimation and hypothesis testing for collections of autoregressive time series
• Newton-Raphson and EM Algorithms for Linear Mixed-Effects Models for Repeated-Measures Data
• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• Fast EM-type Implementations for Mixed Effects Models
• The ECME algorithm: A simple extension of EM and ECM with faster monotone convergence
• Maximum Likelihood Computations with Repeated Measures: Application of the EM Algorithm
• Generalized Estimation of Error Components Models with a Serially Correlated Temporal Effect
• A State-Space EM Algorithm for Longitudinal Data
• The Use of Error Components Models in Combining Cross Section with Time Series Data
• Efficient Inference in a Random Coefficient Regression Model

This page was built for publication: Estimation of a generalized random-effects model: some ECME algorithms and Monte Carlo evidence