Paper #1415

Títol:

On the inefficiency of the restricted maximum likelihood

Autor:

Nicholas Longford

Data:

Març 2014

Resum:

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.

Paraules clau:

efficiency, random effects, truncation, variance component.

Codis JEL:

Mathematical Sciences Classification: 62F10, 62J10

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