Hierarchical Graphical Models
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There is continued debate regarding the exact relation between lower cholesterol levels and increased respiratory disease mortality. One of the goals of this study is to reveal the relationship between subcomponents of cholesterol and pulmonary function. We consider the subcomponents of total cholesterol, namely high-density lipoprotein cholesterol and low-density lipoprotein cholesterol, to investigate the relationship of cholesterol levels with pulmonary function in a longitudinal study. To answer these questions, we propose new methodology for hierarchical reciprocal graphical models. We consider the identification and estimation of these models, and propose maximum likelihood estimation using a generalized EM algorithm. A simulation study of the algorithm and the corresponding estimates reveals excellent performance of the proposed procedures. Application of this methodology to the Normative Aging Study reveals complicated associations between pulmonary function and the subcomponents of total cholesterol.
fixest:快速且功能丰富的 R 计量估计框架
fixest is an R package for fast and flexible econometric estimation. It provides a unified framework for applied research, with comprehensive support for a diverse class of models: ordinary least squares, instrumental variables, generalized linear models, maximum likelihood, and difference-in-differences. The package particularly excels at fixed-effects estimation, supported by a novel fixed-point acceleration algorithm implemented in C++. This algorithm achieves rapid…
区域组成数据的时空自回归模型
Compositional data, such as regional shares of economic sectors or property transactions, are central to understanding structural change in economic systems across space and time. This paper introduces a spatiotemporal multivariate autoregressive model tailored for panel data with composition-valued responses at each areal unit and time point. The proposed framework enables the joint modelling of temporal dynamics and spatial dependence under compositional constraints, and…
异质系数面板模型中的经验贝叶斯估计
We develop an empirical Bayes (EB) G-modeling framework for short-panel linear models with nonparametric prior for the random intercepts, slopes, dynamics, and non-spherical error variances. We establish identification and consistency of the nonparametric maximum likelihood estimator (NPMLE) under general conditions, and provide low-level sufficient conditions for several models of empirical interest. Conditions for regret consistency of the EB estimators are also…
固定效应与任意初始条件下的面板 AR(1) 修正极大似然估计再研究
In this paper we consider two generalizations of Lancaster's (Review of Economic Studies, 2002) Modified Maximum Likelihood estimator (MMLE) for the panel AR(1) model with fixed effects, arbitrary initial conditions, and strictly exogenous covariates when the time dimension of the panel, T, is fixed. When the autoregressive parameter rho=1, the limiting modified profile log-likelihood function for this model has a stationary point of inflection, and rho is first-order…
面板 AR(1) 模型中基于准极大似然的一致有效推断
Maximum Likelihood (ML) offers attractive alternatives to Generalized Method of Moments (GMM) estimators for dynamic panel data models. However, to date no identification-robust inference methods exist that can be used in conjunction with the ML estimators for these models. In this paper we propose ML based inference methods for panel AR(1) models with arbitrary initial conditions and heteroskedasticity that are robust to the strength of identification. We show that (Quasi)…
事件研究中的时变异质性处理效应
This paper examines the identification and estimation of heterogeneous treatment effects in event studies, emphasizing the importance of both lagged dependent variables and treatment effect heterogeneity. We show that omitting lagged dependent variables can induce omitted variable bias in the estimated time-varying treatment effects. We develop a novel semiparametric approach based on a short-T dynamic linear panel model with correlated random coefficients, where the…