Multivariate Regression Analyses for Categorical Data
分类数据的多元回归分析AI 解读 ↓
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分类数据的多元回归分析AI 解读 ↓
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SUMMARY It is common to observe a vector of discrete and/or continuous responses in scientific problems where the objective is to characterize the dependence of each response on explanatory variables and to account for the association between the outcomes. The response vector can comprise repeated observations on one variable, as in longitudinal studies or genetic studies of families, or can include observations for different variables. This paper discusses a class of models for the marginal expectations of each response and for pairwise associations. The marginal models are contrasted with log-linear models. Two generalized estimating equation approaches are compared for parameter estimation. The first focuses on the regression parameters; the second simultaneously estimates the regression and association parameters. The robustness and efficiency of each is discussed. The methods are illustrated with analyses of two data sets from public health research.
伪面板事件研究:可信应用的计量经济学基础
Event studies with panel data are widely used to estimate treatment effects. With repeated cross-sections, future treatment dates are unobserved for untreated individuals. Pseudo-panel event studies impute pre-treatment outcomes of the treated using matched untreated individuals. This paper establishes identification in such designs and characterizes bias when identification conditions fail. I show that the pseudo-panel regression is equivalent to weighted least squares with…
面板数据分位数回归的GMM方法
This paper develops a smoothed generalized method of moments (GMM) framework for panel quantile models with individual-specific fixed-effects and endogenous regressors. By smoothing the indicator in the quantile moment conditions and profiling out the individual effects through smoothed individual quantile restrictions, the proposed estimator can be implemented using standard GMM algorithms. We establish consistency, asymptotic normality, and feasible inference under weak…
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…
短时间维度异质性面板中的平均效应估计
The commonly used two-way fixed effects estimator is biased under correlated heterogeneity and can lead to misleading inference. The mean group estimator proposed by \cite{PesaranSmith1995} is robust to correlated heterogeneity but requires the individual estimators to have second-order moments that could fail if the number of estimated coefficients ($k$) is close to the time dimension ($T$) of the panel. This paper focuses on panels where $T-k$ is mall (including $T=k$),…
近分离二元数据中惩罚GEE的有限样本方差估计
Penalized generalized estimating equations (PGEE) stabilize point estimation for longitudinal binary data under near-separation, but inference still depends on how the sandwich variance is corrected. Existing corrections for PGEE can overadjust in high-leverage directions, require restrictive pooling assumptions, or add global regularization without explaining the bias. We establish first-order asymptotics for PGEE along convergent interior-root sequences and derive a matrix…
平均处理效应局部化:合成控制中的投影方法
Many real-world policies and business interventions require assessing short-term effects to inform timely decisions, even though most causal inference methods focus on long-term average treatment effects. In this article, we introduce average treatment effect localization (ATEL), which captures localized, short-term policy impacts in panel data settings with a single treated unit and provides early indicators of policy impact. To accommodate both time-varying and nonlinear…