The paper explores the issue of endogeneity in mixed models, focusing on the case where the random effects are correlated with a level 1 covariate in a simple linear random intercept model. This type of endogeneity arises from a wrong equality restriction on the between-cluster and within-cluster slopes. We show that estimation of the between-cluster slope is affected by measurement error and we propose a correction to obtain consistent estimates. Then we compare some estimators proposed in the literature. A small simulation illustrates the main findings.

Endogeneity issues in mixed models / L. GRILLI; C. RAMPICHINI. - STAMPA. - (2007), pp. 306-309. (Intervento presentato al convegno 22nd International Workshop on Statistical Modelling tenutosi a Barcelona nel July 1-6, 2007).

Endogeneity issues in mixed models

GRILLI, LEONARDO;RAMPICHINI, CARLA
2007

Abstract

The paper explores the issue of endogeneity in mixed models, focusing on the case where the random effects are correlated with a level 1 covariate in a simple linear random intercept model. This type of endogeneity arises from a wrong equality restriction on the between-cluster and within-cluster slopes. We show that estimation of the between-cluster slope is affected by measurement error and we propose a correction to obtain consistent estimates. Then we compare some estimators proposed in the literature. A small simulation illustrates the main findings.
2007
Proceedings of the 22nd International Workshop on Statistical Modelling
22nd International Workshop on Statistical Modelling
Barcelona
July 1-6, 2007
L. GRILLI; C. RAMPICHINI
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Utilizza questo identificatore per citare o creare un link a questa risorsa: https://hdl.handle.net/2158/260340
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