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Nonparametric estimation of non-exchangeable latent-variable models

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. Green open access

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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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