Estimation of a Multivariate continuous Variable Panel Model
STANFORD UNIV CA DEPT OF STATISTICS
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Continuous-variable panel models are widely used in social and business research to assess the effects of exogenous and lagged endogenous variables on endogenous variables over time given a large number of independent replications on variables measured at each of a small number of times. We consider the problem of estimating the parameters for a model in which the error includes a random individual component. The univariate version of this components of variance model has been widely studied in econometrics. Results in the mathematical statistics literature are used to characterize and study the maximum-likelihood estimators. The results are applied to a panel study of patients attitudes and perceptions toward health maintenance organizations.
- Statistics and Probability