I would like to fit a 2-level mixed model: yit=a+a[i]+a[it] +(b+b[i]+b[it])*xit+eps[it] However, the variance of the second level components should depend on the group, i.e. sigma for a[it] and b[it] should be [i] specific. I do not know whether this is conceptually right in the mixed model context... In case it stands, how should the formula look like? Also, the data are unbalanced with different number of observations t nested in each i group and I get the warning when trying to fit the model in the traditional way. How much should I worry about this? Thank you!
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