Robustness of parameter estimation procedures in multilevel models when random effects are MEP distributed
Nadia Solaro, University of Milan-Bicocca, Milan, Italy
Pier Alda Ferrari, Department of Economics, Business and Statistics
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ABSTRACT:
In this paper we examine maximum likelihood estimation procedures in multilevel models for two level
nesting structures. Usually, for fixed effects and variance components estimation,
level-one error terms and random effects are assumed to be normally distributed.
Nevertheless, in some circumstances this assumption might not be realistic, especially as concerns
random effects. Thus we assume for random effects the family of multivariate exponential power
distributions (MEP); subsequently, by means of Monte Carlo simulation procedures,
we study robustness of maximum likelihood estimators under normal
assumption when, actually, random effects are MEP distributed.
SUGGESTED CITATION:
Nadia Solaro and Pier Alda Ferrari,
"Robustness of parameter estimation procedures in multilevel models when random effects are MEP distributed"
(October 2005).
UNIMI - Research Papers in Economics, Business, and Statistics.
Statistics and Mathematics.
Working Paper 5.
http://services.bepress.com/unimi/statistics/art5
Paper presented by Nadia Solaro, Pier Alda Ferrari.
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