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Nonparametric estimation of non-exchangeable latent-variable models

 

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Type:   Article
 
Titre:   Nonparametric estimation of non-exchangeable latent-variable models
 
Auteur(s):   Bonhomme, Stéphane - University of Chicago (Auteur)
Jochmans, Koen (1982-...) - Département d'économie (Auteur)
Robin, Jean-Marc - Département d'économie (Auteur)
 
In:   Journal of Econometrics
 
Date de publication:   2017
 
Éditeur:   PAYS-BAS  :  Elsevier
 
Volume:   Forthcoming
 
ISSN:   03044076
 
Mots-clés:   [en] Latent variant modules, Unobserved heterogeneity, Finite mixtures, Hidden Markov models, Nonparametric estimation, Panel data, Wage dynamics
 
JEL:   C14,  C33,  C38,  J31
 
Résumé:   [en] We propose a two-step method to nonparametrically estimate multivariate models in which the observed outcomes are independent conditional on a discrete latent variable. Applications include microeconometric models with unobserved types of agents, regime-switching models, and models with misclassification error. In the first step, we estimate weights that transform moments of the marginal distribution of the data into moments of the conditional distribution of the data for given values of the latent variable. In the second step, these conditional moments are estimated as weighted sample averages. We illustrate the method by estimating a model of wages with unobserved heterogeneity on PSID data.
 
 

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