An EM Algorithm Fitting First-Order Conditional Autoregressive Models to Longitudinal Data
纵向数据一阶条件自回归模型的 EM 拟合AI 解读 ↓
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An EM algorithm fits a state-space formulation of the longitudinal regression model in which a continuous response depends on the lagged response and both time-dependent and time-independent covariates. The baseline response depends only on covariates. The model handles both missing data and Gaussian measurement error on both response and continuous covariates. The E step uses the Kalman filter and associated filtering algorithms to update the unknown true response and predictor series for the observed data. The M step uses standard closed-form Gaussian results. Standard errors come from the supplemented EM (SEM) algorithm. The model accurately fits 6 years of pulmonary function measurements on 158 children with many missing observations.
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…
共同相关效应动态面板模型的自助法推断
We study recursive-design wild bootstrap inference for dynamic panel data models with unobserved common factors estimated by Common Correlated Effects. In the large N,T setting, the bootstrap reproduces the biased limiting distribution in pure autoregressive models, but fails to capture all bias and factor-estimation variance components in models with additional regressors, particularly under weak exogeneity. We trace this failure to holding regressors fixed across bootstrap…
非线性政治面板中的预测必要性与因果发现:民主化的反馈和动态
A non-significant coefficient in a dynamic panel model need not imply the absence of a relationship. It may instead reflect heterogeneous effects averaged toward zero, reciprocal dynamics overlooked by a recursive specification, or relationships masked by the omission of correlated covariates. Standard linear estimators cannot distinguish among these possibilities. We develop an inferential workflow for political panel data that resolves this ambiguity by combining flexible…
面板MIDAS模型非线性最小二乘估计量的渐近分布
The Mixed Data Sampling (MIDAS) approach provides a flexible framework for incorporating mixed-frequency data into econometric models. In this paper, we introduce the MIDAS framework into a panel data model and derive the asymptotic properties of the NLS estimator under a joint asymptotic framework where both N and T tend to infinity, allowing for heteroskedasticity and arbitrary correlation within each individual. To facilitate valid inference, we construct robust…
多变量纵向数据的向量藤 Copula 模型
Multivariate longitudinal data may exhibit non-Gaussian margins, nonlinear dynamics, and response vectors with composition that varies across waves. To account for these features, we introduce a vector drawable vine (VD-vine) copula that extends conventional drawable vine copulas from scalar to vector-valued nodes. Here, the response vector at each wave forms a multivariate marginal, and serial dependence is captured through a sequence of linking vector copulas. We establish…
基于离散傅里叶变换检验交互固定效应面板模型的结构变化
We propose a discrete Fourier transform (DFT)-based test for detecting structural changes in panel data models with interactive fixed effects (IFE). When structural changes are present but ignored, the conventional asymptotic distribution of the least squares (LS) estimator of Bai (2009) may no longer provide reliable inference, and the resulting residuals contain signals of parameter instability. Our test exploits this feature by comparing the DFT of weighted residuals to…