Restricted unbiased iterative generalized least-squares estimation

doi:10.1093/biomet/76.3.622

Biometrika 1989 76(3):622-623; doi:10.1093/biomet/76.3.622
© 1989 by Biometrika Trust

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MISCELLANEA

Restricted unbiased iterative generalized least-squares estimation

HARVEY GOLDSTEIN

Department of Mathematics, Statistics and Computing, Institute of Education, University of London London WC1H 0AL, U.K.

It is shown that the iterative least-squares procedure for estimatingthe parameters in a general multilevel random coefficients linearmodel can be modified to produce unbiased estimates of the randomparameters. In the multivariate normal case these are equivalentto restricted maximum likelihood estimates.

Key Words: Iterative generalized least-squares • Maximum likelihood • Multilevel model • Restricted generalized least-squares • Restricted maximum likelihood

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