Regressor and random-effects dependencies in multilevel models

Peter Ebbes*, Ulf Böckenholt, Michel Wedel

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

42 Scopus citations

Abstract

The objectives of this paper are (1) to review methods that can be used to test for different types of random effects and regressor dependencies, (2) to present results from Monte Carlo studies designed to investigate the performance of these methods, and (3) to discuss estimation methods that can be used when some but not all of the random effects and regressor independence assumptions, are violated. Because current methods are limited in various ways, we will also present a list of open problems and suggest solutions for some of them. As we will show, the issue of regressor random-effects independence has received some attention in the econometrics literature, but this important work has had little impact on current research practices in the social and behavioral sciences.

Original languageEnglish (US)
Pages (from-to)161-178
Number of pages18
JournalStatistica Neerlandica
Volume58
Issue number2
DOIs
StatePublished - May 2004

Keywords

  • Endogenous variables
  • Exogeneity
  • Instrumental variables
  • Linear models

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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