A Parameter Dimension-Split Based Asymptotic Regression Estimation Theory for a Multinomial Panel Data Model

Brajendra C Sutradhar ()
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Brajendra C Sutradhar: Carleton University

Sankhya A: The Indian Journal of Statistics, 2018, vol. 80, issue 2, No 6, 329 pages

Abstract: Abstract In this paper we revisit the so-called non-stationary regression models for repeated categorical/multinomial data collected from a large number of independent individuals. The main objective of the study is to obtain consistent and efficient regression estimates after taking the correlations of the repeated multinomial data into account. The existing (1) ‘working’ odds ratios based GEE (generalized estimating equations) approach has both consistency and efficiency drawbacks. Specifically, the GEE-based regression estimates can be inconsistent which is a serious limitation. Some other existing studies use a MDL (multinomial dynamic logits) model among the repeated responses. As far as the estimation of the regression effects and dynamic dependence (i.e., correlation) parameters is concerned, they use either (2) a marginal or (3) a joint likelihood approach. In the marginal approach, the regression parameters are estimated for known correlation parameters by solving their respective marginal likelihood estimating equations, and similarly the correlation parameters are estimated by solving their likelihood equations for known regression estimates. Thus, this marginal approach is an iterative approach which may not provide quick convergence. In the joint likelihood approach, the regression and correlation parameters are estimated simultaneously by searching the maximum value of the likelihood function with regard to these parameters together. This approach may encounter computational drawback, specially when the number of correlation parameters gets large. In this paper, we propose a new estimation approach where the likelihood function for the regression parameters is developed from the joint likelihood function by replacing the correlation parameter with a consistent estimator involving unknown regression parameters. Thus the new approach relaxes the dimension issue, that is, the dimension of the correlation parameters does not affect the estimation of the main regression parameters. The asymptotic properties of the estimates of the main regression parameters (obtained based on consistent estimating functions for correlation parameters) are studied in detail.

Keywords: Asymptotic properties; Dynamic dependence parameters; Lag 1 transitional multinomial probabilities; Partially estimated likelihood function; Product multinomial for independent groups; Regression parameters; Time-dependent covariates; Primary 62H12; 62F12; Secondary 60650; 62F10. (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s13171-017-0120-8

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