An Unbalanced Nested Model with Random Effects Having Unequal Variances

Consider the model Y_ijk=μ + a_i + b_ij + e_ijk (i=1, 2,…, t; j=1,2,…, B_i; k=1,2…,n_ij), where μ is a constant and a¹,b_ij and e_ijk are distributed independently and normally with zero means and variances σ²_ad_ij and σ², respectively, where it is assumed that the d_i's and d_ij's are known. In this paper procedures for estimating the variance components (σ², σ²_a and σ²_b) and for testing the hypothesis σ²_b = 0 and σ²_a = 0 are presented. In the last section the mixed model y_ijk, where x_ijkkm are known constants and β_m's are unknown fixed effects (m = 1, 2,…,p), is transformed to a fixed effect model with equal variances so that least squares theory can be used to draw inferences about the β_m's.