A functional generalized method of moments approach for longitudinal studies with missing responses and covariate measurement error
响应缺失与协变量测量误差下纵向研究的函数型广义矩方法AI 解读 ↓
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响应缺失与协变量测量误差下纵向研究的函数型广义矩方法AI 解读 ↓
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Abstract Covariate measurement error and missing responses are typical features in longitudinal data analysis. There has been extensive research on either covariate measurement error or missing responses, but relatively little work has been done to address both simultaneously. In this paper, we propose a simple method for the marginal analysis of longitudinal data with time-varying covariates, some of which are measured with error, while the response is subject to missingness. Our method has a number of appealing properties: assumptions on the model are minimal, with none needed about the distribution of the mismeasured covariate; implementation is straightforward and its applicability is broad. We provide both theoretical justification and numerical results.
含内生性的时变线性变换面板模型中的偏效应
This article develops a new estimator for an average partial effect in nonlinear panel models, where outcomes are time-varying monotonic transformations of latent variables that include fixed effects and endogenous regressors. The partial effect can be time-varying and the counterfactual shift is scale invariant—key advantages over the linear model. We exploit a conditional moment restriction and address the ill-posed nature of recovering the transformation functions using…
动态面板门槛模型的自助法推断
This paper develops valid bootstrap inference methods for the dynamic short panel threshold regression. We show that the standard nonparametric bootstrap is inconsistent for the first-differenced generalized method of moments (GMM) estimator. The inconsistency arises from an n1/4-consistent non-normal asymptotic distribution of the threshold estimator when the true parameter lies in the continuity region of the parameter space, which stems from the rank deficiency of the…
动态面板门槛模型的自助推断
This paper develops valid bootstrap inference methods for the dynamic short panel threshold regression. We show that the standard nonparametric bootstrap is inconsistent for the first-differenced generalized method of moments (GMM) estimator. The inconsistency arises from an $n^{1/4}$-consistent non-normal asymptotic distribution of the threshold estimator when the true parameter lies in the continuity region of the parameter space, which stems from the rank deficiency of…
带固定效应的变系数空间动态面板模型:理论与应用
This paper considers a varying-coefficient spatial dynamic panel data model with fixed effects. We show that a two-point approximation method poses a potential weak identification problem. We propose a robust modified estimator to address this issue. Our two-step estimation procedure incorporates both linear and quadratic moment conditions. We also extend our analysis to a partially linear varying-coefficient model and develop a consistent test for this specification. We…
具有趋势性时变系数的空间面板数据模型
This article investigates the estimation and inference of spatial panel data models in which the regression coefficient vector is a trending function. We use time differences to eliminate the individual effects and employ various GMM estimations for regression coefficients with both linear and quadratic moments. Time trend estimator based on these GMM estimations is also proposed. Monte Carlo experiments show that the finite sample performance of the estimators is…
使用组别交互固定效应多层回归模型进行政策分析
The use of multilevel regression models is prevalent in policy analysis to estimate the effect of group level policies on individual outcomes. In order to allow for the time varying effect of group heterogeneity and the group specific impact of time effects, we propose a group interactive fixed effects approach that employs interaction terms of group factor loadings and common factors in this model. For this approach, we consider the least squares estimator and associated…