NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Analysis of Covariance With Qualitative Data

Gary Chamberlain

NBER Working Paper No. 325 (Also Reprint No. r0286)
Issued in March 1979
NBER Program(s):   LS

In data with a group structure, incidental parameters are included to control for missing variables. Applications include longitudinal data and sibling data. In general, the joint maximum likelihood estimator of the structural parameters is not consistent as the number of groups increases, with a fixed number of observations per group. Instead a conditional likelihood function is maximized, conditional on sufficient statistics for the incidental parameters. In the logit case, a standard conditional logit program can be used. Another solution is a random effects model, in which the distribution of the incidental parameters may depend upon the exogenous variables.

download in pdf format
   (296 K)

email paper

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w0325

Published: Chamberlain, Gary. "Analysis of Covariance With Qualitative Data." Review of Economic Studies, Vol. XLVII(1), No. 146 (January, 1980), pp. 225-238.

 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us