Estimation of spatial sample selection models: A partial maximum likelihood approach
空间样本选择模型估计:部分极大似然方法AI 解读 ↓
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空间样本选择模型估计:部分极大似然方法AI 解读 ↓
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We study estimation of sample selection models with the spatially lagged latent dependent variable or spatial errors in both the selection and outcome equations under cross-sectional dependence. Since there is no estimation framework for the spatial-lag model and the existing estimators for the spatial-error model are computationally demanding or have poor small sample properties, we suggest to estimate these models by the partial maximum likelihood estimator. We show that the estimator is consistent and asymptotically normally distributed. To facilitate easy and precise estimation of the variance matrix, we propose the parametric bootstrap method. Simulations demonstrate the advantages of the estimators.
靶向深度生存对比:神经网络下处理特定生存收益的有效推断
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The maximum likelihood estimator in nonlinear panel data models with interactive fixed effects is biased. Several bias correction methods, such as analytical and jackknife approaches, have been proposed to enable valid inference. This paper shows that the parametric bootstrap also enables valid inference in such models. In particular, we show that the parametric bootstrap replicates the asymptotic distribution of the maximum likelihood estimator. Therefore, it yields…
门槛空间自回归模型
In this paper, we consider the estimation and inferential issues of the threshold spatial autoregressive (TSAR) model, which is a hybrid of the threshold and spatial autoregressive models. We use the quasi maximum likelihood (QML) method to estimate the model. In addition, we prove the tightness and the Hájek–Rényi type inequality for a quadratic form and establish a full inferential theory of the QML estimator under the setup that threshold effect shrinks to zero as the…
通过随机扰动与矩估计实现 β 模型的边差分隐私估计
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We develop new higher-order asymptotic techniques for the Gaussian maximum likelihood estimator in a spatial panel data model, with fixed effects, time-varying covariates, and spatially correlated errors. Our saddlepoint density and tail area approximation feature relative error of order O(1/(n(T−1))) with n being the cross-sectional dimension and T the time-series dimension. The main theoretical tool is the tilted-Edgeworth technique in a nonidentically distributed setting.…
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We propose quasi maximum likelihood (QML) estimation of dynamic panel models with spatial errors when the cross-sectional dimension n is large and the time dimension T is fixed. We consider both the random effects and fixed effects models, and prove consistency and derive the limiting distributions of the QML estimators under different assumptions on the initial observations. We propose a residual-based bootstrap method for estimating the standard errors of the QML…