Bias-Reduced Estimation of Finite Mixtures: An Application to Latent Group Structures in Panel Data
有限混合模型的偏差缩减估计及面板潜在组结构应用AI 解读 ↓
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有限混合模型的偏差缩减估计及面板潜在组结构应用AI 解读 ↓
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Finite mixture models are widely used in econometric analyses to capture unobserved heterogeneity. This paper shows that maximum likelihood estimation of finite mixtures of parametric densities can suffer from substantial finite-sample bias in all parameters under mild regularity conditions. The bias arises from the influence of outliers in component densities with unbounded or large support and increases with the degree of overlap among mixture components. I show that maximizing the classification-mixture likelihood function, equipped with a consistent classifier, yields parameter estimates that are less biased than those obtained by standard maximum likelihood estimation (MLE). I then derive the asymptotic distribution of the resulting estimator and provide conditions under which oracle efficiency is achieved. Monte Carlo simulations show that conventional mixture MLE exhibits pronounced finite-sample bias, which diminishes as the sample size or the statistical distance between component densities tends to infinity. The simulations further show that the proposed estimation strategy generally outperforms standard MLE in finite samples in terms of both bias and mean squared errors under relatively weak assumptions. An empirical application to latent group panel structures using health administrative data shows that the proposed approach reduces out-of-sample prediction error by approximately 17.6% relative to the best results obtained from standard MLE procedures.
网络辅助的高维因子模型估计
This article takes advantage of group-level heterogeneity and network cohesion phenomenon to improve the estimation accuracy of approximate factor models. As large heterogeneous panels become available, a grouped pattern of unobserved heterogeneity in the panel data is highlighted. Clustering of factor loadings provides a solution to model group-level heterogeneity. Moreover, networks are frequently observed in economics and finance, which capture the interconnectivity…
面板信息矩阵检验
The Information Matrix (IM) test is a natural specification check for likelihood-based models, yet cross-sectional implementations are often badly sized, confound neglected heterogeneity with distributional misspecification, and require third derivatives. We develop the panel information matrix (PIM) test for models with fixed effects. Explicit fixed effects isolate functional-form misspecification from time-invariant unobserved heterogeneity. Although the profile maximum…
具有高阶自回归误差的面板 Beta 回归联合条件极大似然估计
Existing panel beta regression estimators do not accommodate higher-order autoregressive dependence within a joint likelihood framework. We develop such an estimator: a joint conditional maximum-likelihood beta-AR(k) model extended from a single time series to panel data, and extend it to panel inference through two new covariance estimators - a generalization of Beck-Katz panel-corrected standard errors (PCSE) and a Driscoll-Kraay-style alternative (DK) - to account for the…
交互固定效应非线性面板模型的 Bootstrap 推断
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…
fixest:快速且功能丰富的 R 计量估计框架
fixest is an R package for fast and flexible econometric estimation. It provides a unified framework for applied research, with comprehensive support for a diverse class of models: ordinary least squares, instrumental variables, generalized linear models, maximum likelihood, and difference-in-differences. The package particularly excels at fixed-effects estimation, supported by a novel fixed-point acceleration algorithm implemented in C++. This algorithm achieves rapid…
区域组成数据的时空自回归模型
Compositional data, such as regional shares of economic sectors or property transactions, are central to understanding structural change in economic systems across space and time. This paper introduces a spatiotemporal multivariate autoregressive model tailored for panel data with composition-valued responses at each areal unit and time point. The proposed framework enables the joint modelling of temporal dynamics and spatial dependence under compositional constraints, and…