September 2012
Intermediate to advanced
286 pages
8h 7m
English
Appendix J
Random Intercept Model
(Sources: Cameron and Trivedi [1], Hsiao [2])
The random effects model can be written as
(J.1) ![]()
or
(J.2) ![]()
where
. The variance–covariance matrix of
is
(J.3) ![]()
Its inverse is
(J.4) ![]()
The individual-specific effects
are assumed to be realizations of i.i.d. random variables with distribution
and the error
is i.i.d.
. The model can be re-expressed as
, where the error ...
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