Bonhomme, S;
Jochmans, K;
Robin, J-M;
(2017)
Nonparametric estimation of non-exchangeable latent-variable models.
Journal of Econometrics
, 201
(2)
pp. 237-248.
10.1016/j.jeconom.2017.08.006.
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Abstract
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.
| Type: | Article |
|---|---|
| Title: | Nonparametric estimation of non-exchangeable latent-variable models |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1016/j.jeconom.2017.08.006 |
| Publisher version: | http://doi.org/10.1016/j.jeconom.2017.08.006 |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. |
| Keywords: | Latent variable models, unobserved heterogeneity, finite mixtures, hidden Markov models, nonparametric estimation, panel data, wage dynamics |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices UCL > Provost and Vice Provost Offices > UCL SLASH UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10062209 |
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