Estimating Latent-Variable Panel Data Models Using Parameter-Expanded SEM Methods
利用参数扩展 SEM 方法估计潜变量面板数据模型AI 解读 ↓
本页整理公开书目信息,不生成学术质量评分。AI 解读根据题名及所注明的摘要或原文片段生成,未完成全文核验,可能有误;具体假设、证明与结论请核对原文。摘要保留来源文本,未经模型改写。
DOI 首次登记不等于接收或发表日期。部分更正、评论等条目没有独立摘要;缺少可靠材料时保留待补状态。
引用量采用 OpenAlex 单条关联记录,不合计多个记录;关联记录可能包含正式发表版本,不等于此版本单独引用。缺失不视为零,引用指标不代表论文质量。
关注作者按书目中的完整姓名匹配,同名和姓名变体需人工辨别。相关论文先按共享细分方向和具体方法排列,再参考通用方法与发表日期。
AI 根据所提供的论文材料归类:摘要明确研究动态潜变量面板,并列举离散选择模型和持久—暂时分位数过程。
利用参数扩展 SEM 方法估计潜变量面板数据模型AI 解读 ↓
正在核对关联版本…
正在核对对应版本的资源…
This article presents new estimation algorithms for three types of dynamic panel data models with latent variables: factor models, discrete choice models, and persistent-transitory quantile processes. The new methods combine the parameter expansion (PX) ideas of Liu, Rubin, and Wu with the stochastic expectation-maximization (SEM) algorithm in likelihood and moment-based contexts. The goal is to facilitate convergence in models with a large space of latent variables by improving algorithmic efficiency. This is achieved by specifying expanded models within the M step. Effectively, we are proposing new estimators for the pseudo-data within iterations that take into account the fact that the model of interest is misspecified for draws based on parameter values far from the truth. We establish the asymptotic equivalence of the likelihood-based PX-SEM to an alternative SEM algorithm with a smaller expected fraction of missing information compared to the standard SEM based on the original model, implying a faster global convergence rate. Finally, in simulations we show that the new algorithms significantly improve the convergence speed relative to standard SEM algorithms, sometimes dramatically so, by reducing the total computing time from hours to a few minutes.
Abstract This paper provides a method to study quantile effects in discrete choice with social interactions. The method is based on a behavioral social interactions model from quantile preference in decision making and demonstrates peer effects on different quantiles of discrete outcomes. The peer effects parameters are estimated by a nested pseudoscore (NPS) approach, which is developed to tackle the computational burden pertaining to the social interactions model.…
基于局部多项式平滑的二元分位数回归
Manski (1975, 1985) proposed the maximum score estimator for the binary choice model under a weak conditional median restriction that converges at the rate of n−1/3 and the standardized version has a nonstandard distribution. By imposing additional smoothness conditions, Horowitz (1992) proposed a smoothed maximum score estimator that often has large finite sample biases and is quite sensitive to the choice of smoothing parameter. In this paper we propose a novel framework…
非线性面板模型中时变反事实参数的识别
We develop a general framework for the identification of counterfactual parameters in a class of nonlinear semiparametric panel models with fixed effects and time effects. Our method applies to models for discrete outcomes (e.g., two-way fixed effects binary choice) or continuous outcomes (e.g., censored regression), with discrete or continuous regressors. Our results do not require parametric assumptions on the error terms or time-homogeneity on the outcome equation. Our…
非线性面板模型中时变反事实参数的识别
We develop a general framework for the identification of counterfactual parameters in a class of nonlinear semiparametric panel models with fixed effects and time effects. Our method applies to models for discrete outcomes (e.g., two-way fixed effects binary choice) or continuous outcomes (e.g., censored regression), with discrete or continuous regressors. Our results do not require parametric assumptions on the error terms or time-homogeneity on the outcome equation. Our…
含交互效应的动态空间分位数模型的贝叶斯推断
With the rapid advancement of information technology and data collection systems, large-scale spatial panel data presents new methodological and computational challenges. This paper introduces a dynamic spatial panel quantile model that incorporates unobserved heterogeneity. The proposed model captures the dynamic structure of panel data, high-dimensional cross-sectional dependence, and allows for heterogeneous regression coefficients. To estimate the model, we propose a…
异质动态面板分位数回归模型的共同相关效应估计
Summary This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common Correlated Effects (CCE) approach proposed in the literature and demonstrates that the extension to the estimation of dynamic quantile regression models is feasible under similar conditions to the ones used in the literature. The new quantile regression estimator is shown to be consistent and its…