TY  - JOUR
AU  - Chamberlain,Gary
TI  - Analysis of Covariance With Qualitative Data
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 325
PY  - 1982
Y2  - July 1982
UR  - http://www.nber.org/papers/w0325
L1  - http://www.nber.org/papers/w0325.pdf
N1  - Author contact info:
Gary Chamberlain
Department of Economics
Littauer Center 123
Harvard University
Cambridge, MA  02138
Tel: 617/495-1869
Fax: 617/495-8570
E-Mail: gary_chamberlain@harvard.edu
AB  - 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.
ER  -