Fisher Information Matrix for Two-way Random e Effects Model with Heteroscedasticity
Accepted - January 2024
Keywords:computational issues, heteroscedasticity, information matrix, real data applications, two way models
Model specification and selection are important aspects of modeling exercises. In this context, the Fisher Information Matrix (FIM) plays an essential role. In this paper, we derive the Fisher Information Matrix (FIM) for the two way random effects panel data models, in general, as well as in some specic cases of heteroscedasticity. Some computational issues are then raised and discussed. In addition, some real data examples are reported and thoroughly discussed.
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