Increasing Cluster Size Asymptotics for Nested Error Regression Models

01/22/2021 ∙ by Ziyang Lyu, et al. ∙ 0

This paper establishes asymptotic results for the maximum likelihood and restricted maximum likelihood (REML) estimators of the parameters in the nested error regression model for clustered data when both of the number of independent clusters and the cluster sizes (the number of observations in each cluster) go to infinity. Under very mild conditions, the estimators are shown to be asymptotically normal with an elegantly structured covariance matrix. There are no restrictions on the rate at which the cluster size tends to infinity but it turns out that we need to treat within cluster parameters (i.e. coefficients of unit-level covariates that vary within clusters and the within cluster variance) differently from between cluster parameters (i.e. coefficients of cluster-level covariates that are constant within clusters and the between cluster variance) because they require different normalisations and are asymptotically independent.

READ FULL TEXT
POST COMMENT

Comments

There are no comments yet.

Authors

page 1

page 2

page 3

page 4

This week in AI

Get the week's most popular data science and artificial intelligence research sent straight to your inbox every Saturday.