格林 面板数据讲义-6.pptVIP

Econometric Analysis of Panel Data Econometric Analysis of Panel Data 6. Maximum Likelihood Estimation of the Random Effects Linear Model The Random Effects Model The random effects model ci is uncorrelated with xit for all t; E[ci |Xi] = 0 E[εit|Xi,ci]=0 Error Components Model Generalized Regression Model Notation Maximum Likelihood Panel Data Algebra (3) Panel Data Algebra (3, cont.) Panel Data Algebra (3, conc.) Maximizing the Likelihood Difficult: “Brute force” + some elegant theoretical results: See Baltagi, pp. 20-21. (Back and forth from GLS to ?ε2 and ?u2.) Somewhat less difficult and more practical: At any iteration, given estimates of ?ε2 and ?u2 the estimator of ? is GLS (of course), so we iterate back and forth between these. See Hsiao, pp. 39-40. Direct Maximization of LogL Application – ML vs. FGLS Maximum Simulated Likelihood Likelihood Function for Individual i Log Likelihood Function Computing the Expected LogL Quadrature Gauss-Hermite Quadrature Simulation Convergence Results MSL vs. ML - Application Two Level Panel Data Nested by construction Unbalanced panels No real obstacle to estimation Some inconvenient algebra. In 2 step FGLS of the RE, need “1/T” to solve for an estimate of σu2. What to use? Balanced Nested Panel Data Zi,j,k,t = test score for student t, teacher k, school j, district i L = 2 school districts, i = 1,…,L Mi = 3 schools in each district, j = 1,…,Mi Nij = 4 teachers in each school, k = 1,…,Nij Tijk = 20 students in each class, t = 1,…,Tijk Nested Effects Model GLS with Nested Effects Unbalanced Nested Data With unbalanced panels, all the preceding results fall apart. GLS, FGLS, even fixed effects become analytically intractable. The log likelihood is very tractable Note a collision of practicality with nonrobustness. (Normality must be assumed.) Log Likelihood (1) Log Likelihood (2) Maximizing Log L Antweiler provides analytic first derivatives for gradient methods of optimization. Ugly to program.