EM estimation of dynamic panel data models with Heteroskedastic Random Coefficients

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Nocera, Andrea;
  • Publisher: Birkbeck College, University of London
  • Subject: ems

In this paper, we show how to combine the EM algorithm with the Restricted Maximum Likelihood (REML) method to estimate iteratively both the average effects and the unit-specific coefficients as well as the variance components in a wide class of dynamic heterogeneous pa... View more
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