On the inefficiency of the restricted maximum likelihood
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- dc.contributor.author Longford, Nicholas T.ca
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2017-07-26T10:51:14Z
- dc.date.available 2017-07-26T10:51:14Z
- dc.date.issued 2014-03-01
- dc.date.modified 2017-07-23T02:16:07Z
- dc.description.abstract The restricted maximum likelihood is preferred by many to the full maximum likelihood for estimation with variance component and other random coefficient models, because the variance estimator is unbiased. It is shown that this unbiasedness is accompanied in some balanced designs by an inflation of the mean squared error. An estimator of the cluster-level variance that is uniformly more efficient than the full maximum likelihood is derived. Estimators of the variance ratio are also studied.
- dc.format.mimetype application/pdfca
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1415
- dc.identifier.uri http://hdl.handle.net/10230/22200
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1415
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword efficiency
- dc.subject.keyword random effects
- dc.subject.keyword truncation
- dc.subject.keyword variance component.
- dc.title On the inefficiency of the restricted maximum likelihoodca
- dc.type info:eu-repo/semantics/workingPaper