A proportional odds model with subject-specific effects for repeated ordered categorical responses
含个体特定效应的重复有序类别响应比例优势模型AI 解读 ↓
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含个体特定效应的重复有序类别响应比例优势模型AI 解读 ↓
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Suppose subjects make repeated responses on the same ordered categorical scale. We propose a generalization of the Rasch model that expresses the cumulative logit of the response distribution using subject parameters and a proportional odds structure for item effects. Parameters in the model describe subject-specific, rather than population averaged, effects. Consistent estimation of the effects requires eliminating the subject parameters. We accomplish this by simultaneous fitting of Rasch models, conditional on sufficient statistics for those parameters, for the possible binary collapsings of the response. The fitting process uses an improved Newton-Raphson algorithm for fitting generalized loglinear models by maximum likelihood estimation subject to constraints. For the case of two items, we give simple expressions for an effect estimate and its standard error, and suggest a test of marginal homogeneity for ordinal matched paris.
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…
三维面板二元 Logit 模型的去偏固定效应估计
Naive maximum likelihood estimation of binary logit models with fixed effects leads to unreliable inference due to the incidental parameter problem. We study the case of three-dimensional panel data, where the model includes three sets of additive and overlapping unobserved effects. This encompasses models for network panel data, where senders and receivers maintain bilateral relationships over time, and fixed effects account for unobserved heterogeneity at the sender-time,…
Summary I derive simple, flexible strategies for difference-in-differences settings where the nature of the response variable may warrant a nonlinear model. I allow for general staggered interventions, with and without covariates. Under an index version of parallel trends, I show that average treatment effects on the treated (ATTs) are identified for each cohort and calendar time period in which a cohort was subjected to the intervention. The pooled quasi-maximum likelihood…
含交互固定效应的异质面板二元响应模型
In this paper, we investigate binary response models for heterogeneous panel data with interactive fixed effects by allowing both the cross-sectional dimension and the temporal dimension to diverge. From a practical point of view, the proposed framework can be applied to predict the probability of corporate failure, conduct credit rating analysis, etc. Theoretically and methodologically, we build a link between a maximum likelihood estimation and a least squares approach,…
含随机效应的自回归面板有序 Probit 模型的复合似然估计
Modeling and estimating autocorrelated discrete data can be challenging. In this article, we use an autoregressive panel ordered probit model where the serial correlation in the discrete variable is driven by the autocorrelation in the latent variable. In such a nonlinear model, the presence of a lagged latent variable results in an intractable likelihood containing high-dimensional integrals. To tackle this problem, we use composite likelihoods that involve a much lower…
含未观测异质性的大规模面板选择模型:贝叶斯与极大似然分析
This paper considers the estimation and inference procedures for the case of a logistic panel regression model with interactive fixed effects, where multiple individual effects are allowed and the model is capable of capturing high-dimensional cross-section dependence. The proposed model also allows for heterogeneous regression coefficients. New Bayesian and non-Bayesian approaches are introduced to estimate the model parameters. We investigate the asymptotic behaviors of…