Estimation of a Stratified Error‐Components Model*
指出Baltagi和Griffin的广义误差成分模型存在附带参数问题，导致可行GLS估计量渐近性质不确定；进而提出无附带参数的分层误差成分模型，给出EM算法估计参数、bootstrap检验确定层数，并用实例展示新方法。
This article shows that the presence of incidental parameters in Baltagi and Griffin's ( International Economic Review 29 (1988), 745–53) generalized error‐components model implies there is no guarantee feasible and true GLS estimators have the same asymptotic distribution. The article then considers a related stratified error‐components model that has no incidental parameters. In this model, unobserved heterogeneity occurs through variances changing across strata. The article provides an EM algorithm for calculating estimates of the model's parameters without assuming observations can be classified into strata, derives a bootstrap test for identifying the number of strata, and applies the new methods in an example.