Measuring Change in Latent Subgroups Using Dichotomous Data: Unconditional, Conditional, and Semiparametric Maximum Likelihood Estimation
用二元数据测量潜在子群变化:无条件、条件与半参数极大似然估计AI 解读 ↓
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用二元数据测量潜在子群变化:无条件、条件与半参数极大似然估计AI 解读 ↓
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Changes in dichotomous data caused by treatments can be analyzed by means of the so-called linear logistic model with relaxed assumptions (LLRA). In contrast to models of the Rasch type, the LLRA allows incidental multidimensional parameters describing the response behavior of the subjects so that each observable criterion used for assessing the changes is governed by its own subject parameter. Because generalizability of the treatment effects over subjects and criteria is scientifically desirable, statistical tests for this desideratum play an important role in practical situations. Whereas generalizability over the criteria can easily be tested, generalizability over subjects can be tested only by stratifying the sample according to some further observable subject variables. However, one cannot be sure to detect nongeneralizability over the subjects by this method with certainty. Therefore, the mixture LLRA is proposed that allows directly unobservable types of subjects reacting differently on the treatments. Three maximum likelihood (ML) methods for estimating the parameters of this mixture model are investigated (unconditional ML, partial- and full-information conditional ML, and semiparametric ML) with respect to some properties of their parameter estimates and their power against falsely specified number of latent change-types using simulated data sets of varying heterogeneity of the subject parameters. Because the unconditional ML method gives estimates that become the more biased the more the subjects are heterogeneous, and the conditional ML estimates always seem to be slightly biased, the semiparametric ML method, even if somewhat harder to apply, is favored. For all three methods, the usual goodness-of-fit tests contrasting the respective model to the unconstrained multinomial have shown to be insensitive against falsely specified number of change-types for the sample size being equal to 500. Contrary to this, even then the BCVL criterion (i.e., posterior probabilities for the numbers of change-types) resulted in correct decisions for the unconditional and semiparametric ML methods.
含内生虚拟解释变量的广义双变量Probit模型估计
Summary The purpose of this paper is to provide guidelines for empirical researchers who use a class of bivariate threshold crossing models with dummy endogenous variables. A common practice employed by the researchers is the specification of the joint distribution of unobservables as a bivariate normal distribution, which results in a bivariate probit model . To address the problem of misspecification in this practice, we propose an easy‐to‐implement semiparametric…
(NOTE: Each chapter concludes with Problems and Complements, Notes, and References.) 1. Statistical Models, Goals, and Performance Criteria. Data, Models, Parameters, and Statistics. Bayesian Models. The Decision Theoretic Framework. Prediction. Sufficiency. Exponential Families. 2. Methods of Estimation. Basic Heuristics of Estimation. Minimum Contrast Estimates and Estimating Equations. Maximum Likelihood in Multiparameter Exponential Families. Algorithmic Issues. 3.…
有序响应模型的简便半参数估计
We propose two simple semiparametric estimation methods for ordered response models with an unknown error distribution. The proposed methods do not require users to choose any tuning parameters, and they automatically incorporate the monotonicity restriction of the unknown distribution function. Fixing finite-dimensional parameters in the model, we construct nonparametric maximum likelihood estimates for the error distribution based on the related binary choice data or the…
局部稳健的半参数估计
Many economic and causal parameters depend on nonparametric or high dimensional first steps. We give a general construction of locally robust/orthogonal moment functions for GMM, where first steps have no effect, locally, on average moment functions. Using these orthogonal moments reduces model selection and regularization bias, as is important in many applications, especially for machine learning first steps. Also, associated standard errors are robust to misspecification…
局部稳健的半参数估计
Many economic and causal parameters depend on nonparametric or high dimensional first steps. We give a general construction of locally robust/orthogonal moment functions for GMM, where moment conditions have zero derivative with respect to first steps. We show that orthogonal moment functions can be constructed by adding to identifying moments the nonparametric influence function for the effect of the first step on identifying moments. Orthogonal moments reduce model…
含内生解释变量的二元响应模型的半参数估计
In this paper, we propose a two-step semiparametric maximum likelihood (SML) estimator for the coefficients of a single index binary choice model with endogenous regressors when identification is achieved via a control function approach. The first step consists of estimating a reduced form equation for the endogenous regressors and extracting the corresponding residuals. In the second step, the latter are added as control variates to the outcome equation, which is in turn…