Modeling Repeated Measures with Monotonic Ordinal Responses and Misclassification, with Applications to Studying Maturation
含误分类的单调有序重复测量建模及成熟过程应用AI 解读 ↓
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含误分类的单调有序重复测量建模及成熟过程应用AI 解读 ↓
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Many longitudinal studies of children are concerned with the modeling of monotonic responses such as growth and sexual maturation. The National Heart, Lung, and Blood Institute Growth and Health Study (NGHS) is a longitudinal study designed to examine the effect of growth and maturation on the development of obesity and related cardiovascular risk factors among black and white adolescent girls. Sexual maturation is measured with an ordinal outcome and is known to be measured with sizable diagnostic error. Of interest is examining the effects of race and age on the sexual maturation process. Here we propose a class of models for analyzing repeated monotonic ordinal responses with diagnostic misclassification in which we separately model the underlying monotonic response and misclassification processes. We develop an EM algorithm for maximum likelihood estimation that incorporates covariates and randomly missing data. We use the method to analyze the NGHS sexual maturation data.
共同冲击下固定 T 的动态空间面板模型
We study a dynamic spatial panel model with observed regressors, interactive effects, and contemporaneous and lagged dependence in a large-$N$, fixed-$T$ framework. The spatial model constitutes an $N$-dimensional simultaneous-equations system. In this $N$-equation view, the interactive effects introduce $N$ unit-specific loading vectors. Estimating them individually when $T$ is fixed creates the type of incidental-parameters problem underlying Nickell bias. We use the $N$-eq…
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…
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…
交互效应动态面板模型中 QMLE 的效率
This paper studies the problem of efficient estimation of panel data models in the presence of an increasing number of incidental parameters. We formulate the dynamic panel as a simultaneous equations system, and derive the efficiency bound under the normality assumption. We then show that the Gaussian quasi-maximum likelihood estimator (QMLE) applied to the system achieves the efficiency bound without the normality assumption. Comparison of QMLE with the fixed effects…
含交互固定效应的高维离散选择模型及其因果推断应用
ABSTRACT We propose a two‐step procedure to estimate a high dimensional discrete choice panel with interactive fixed effects where the initial and final estimators are obtained via a nuclear‐norm regularized (NNR) maximum likelihood estimation and post‐NNR iterated estimation, respectively. We apply the method to make counterfactual predictions of choice probabilities. Simulations demonstrate nice finite sample performance in estimation and tests. An illustrative application…
含交互效应动态面板模型的准极大似然估计效率
This paper studies the problem of efficient estimation of panel data models in the presence of an increasing number of incidental parameters. We formulate the dynamic panel as a simultaneous equations system, and derive the efficiency bound under the normality assumption. We then show that the Gaussian quasi-maximum likelihood estimator (QMLE) applied to the system achieves the normality efficiency bound without the normality assumption. Comparison of QMLE with the fixed…