Hidden group patterns in democracy developments: Bayesian inference for grouped heterogeneity
民主发展中的隐藏分组模式:分组异质性的贝叶斯推断AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要明确研究线性面板数据中的时变分组异质性,并联合处理组数选择与模型估计,分类依据是其面板数据方法贡献。
民主发展中的隐藏分组模式:分组异质性的贝叶斯推断AI 解读 ↓
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Summary We propose a nonparametric Bayesian approach to estimate time‐varying grouped patterns of heterogeneity in linear panel data models. Unlike the classical approach in Bonhomme and Manresa ( Econometrica , 2015, 83 , 1147–1184), our approach can accommodate selection of the optimal number of groups and model estimation jointly, and also be readily extended to quantify uncertainties in the estimated group structure. Our proposed approach performs well in Monte Carlo simulations. Using our approach, we successfully replicate the estimated relationship between income and democracy in Bonhomme and Manresa and the group characteristics when we use the same number of groups. Furthermore, we find that the optimal number of groups could depend on model specifications on heteroskedasticity and discuss ways to choose models in practice.
时变面板数据模型中潜在分组结构的估计
We consider panel data models where coefficients change smoothly over time and follow a latent group structure, being homogeneous within but heterogeneous across groups. To jointly estimate the group membership and group-specific coefficient trajectories, we propose FUSE-TIME, a pairwise adaptive group fused-Lasso estimator combined with polynomial spline sieves. We establish consistency, derive the asymptotic distributions of the penalized sieve estimator and its…
具有潜在组结构的面板函数系数分位数回归
This paper considers estimating functional-coefficient models in panel quantile regression with individual effects, allowing the cross-sectional and temporal dependence for large panel observations. A latent group structure is imposed on the heterogenous quantile regression models so that the number of nonparametric functional coefficients to be estimated can be reduced considerably. With the preliminary local linear quantile estimates of the subject-specific functional…
在面板模型中纳入潜在分组结构的先验知识
The assumption of group heterogeneity has become popular in panel data models. We develop a constrained Bayesian grouped estimator that exploits researchers' prior beliefs on groups in a form of pairwise constraints, indicating whether a pair of units is likely to belong to a same group or different groups. We propose a prior to incorporate the pairwise constraints with varying degrees of confidence. The whole framework is built on the nonparametric Bayesian method, which…
具有潜在分组结构的面板函数系数分位数回归
This paper considers estimating functional-coefficient models in panel quantile regression with individual effects, allowing the cross-sectional and temporal dependence for large panel observations. A latent group structure is imposed on the heterogenous quantile regression models so that the number of nonparametric functional coefficients to be estimated can be reduced considerably. With the preliminary local linear quantile estimates of the subject-specific functional…
删失纵向数据分析的半参数阈值模型
Motivated by an investigation of the relationship between blood pressure change and progression of microalbuminuria (MA) among individuals with type I diabetes, we propose a new semiparametric threshold model for censored longitudinal data analysis. We also study a new semiparametric Bayes information criterion-type criterion for identifying the parametric component of the proposed model. Cluster effects in the model are implemented as unknown fixed effects. Asymptotic…
非可分面板数据模型中结构与因果效应的线性估计
This paper develops linear estimators for structural and causal parameters of nonseparable models using panel data. These models incorporate unobserved, time-varying, individual heterogeneity, which may be correlated with the regressors. Estimation is based on an approximation of a conditional average potential outcome by a linear sieve specification with individual-specific parameters. Effects of interest are estimated by a bias corrected average of individual ridge…