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What is Variance Components in Extreme-Value Models about?

This paper introduces two new classes of probability distributions, C(X) and GL(X), which simplify the development of variance components structures for extreme-value and logistic distributions. These distributions allow for the recursive generation of complex variance structures while maintaining the marginal distribution properties, making them particularly useful for modeling heterogeneity in econometric applications. The paper demonstrates their applicability through various econometric models, highligh

Author

lightyear

Language

EN