Regression Analysis of Longitudinal Data in the Presence of Informative Observation and Censoring Times
信息性观测与删失时间下的纵向数据回归分析AI 解读 ↓
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信息性观测与删失时间下的纵向数据回归分析AI 解读 ↓
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Longitudinal data frequently occur in many studies, such as longitudinal follow-up studies. To develop statistical methods and theory for the analysis of these data, independent or noninformative observation and censoring times are typically assumed, which naturally leads to inference procedures conditional on observation and censoring times. But in many situations this may not be true or realistic; that is, longitudinal responses may be correlated with observation times as well as censoring times. This article considers the analysis of longitudinal data where these correlations may exist and proposes a joint modeling approach that uses some latent variables to characterize the correlations. For inference about regression parameters, estimating equation approaches are developed and both large-sample and final-sample properties of the proposed estimators are established. In addition, some graphical and numerical procedures are presented for model checking. The methodology is applied to a bladder cancer study that motivated this investigation.
I study randomization inference for dynamic causal effects in panels with many units and few periods when treatment is endogenous and an instrument is as good as randomly assigned only through the innovations of a first-order autoregressive assignment mechanism with unknown persistence. The persistence is a nuisance parameter in two senses: it determines which weighted average of heterogeneous causal effects the instrumented local projection estimand measures, and it governs…
伪面板事件研究:可信应用的计量经济学基础
Event studies with panel data are widely used to estimate treatment effects. With repeated cross-sections, future treatment dates are unobserved for untreated individuals. Pseudo-panel event studies impute pre-treatment outcomes of the treated using matched untreated individuals. This paper establishes identification in such designs and characterizes bias when identification conditions fail. I show that the pseudo-panel regression is equivalent to weighted least squares with…
面板数据分位数回归的GMM方法
This paper develops a smoothed generalized method of moments (GMM) framework for panel quantile models with individual-specific fixed-effects and endogenous regressors. By smoothing the indicator in the quantile moment conditions and profiling out the individual effects through smoothed individual quantile restrictions, the proposed estimator can be implemented using standard GMM algorithms. We establish consistency, asymptotic normality, and feasible inference under weak…
面板信息矩阵检验
The Information Matrix (IM) test is a natural specification check for likelihood-based models, yet cross-sectional implementations are often badly sized, confound neglected heterogeneity with distributional misspecification, and require third derivatives. We develop the panel information matrix (PIM) test for models with fixed effects. Explicit fixed effects isolate functional-form misspecification from time-invariant unobserved heterogeneity. Although the profile maximum…
短时间维度异质性面板中的平均效应估计
The commonly used two-way fixed effects estimator is biased under correlated heterogeneity and can lead to misleading inference. The mean group estimator proposed by \cite{PesaranSmith1995} is robust to correlated heterogeneity but requires the individual estimators to have second-order moments that could fail if the number of estimated coefficients ($k$) is close to the time dimension ($T$) of the panel. This paper focuses on panels where $T-k$ is mall (including $T=k$),…
近分离二元数据中惩罚GEE的有限样本方差估计
Penalized generalized estimating equations (PGEE) stabilize point estimation for longitudinal binary data under near-separation, but inference still depends on how the sandwich variance is corrected. Existing corrections for PGEE can overadjust in high-leverage directions, require restrictive pooling assumptions, or add global regularization without explaining the bias. We establish first-order asymptotics for PGEE along convergent interior-root sequences and derive a matrix…