Nonparametric estimation of non-exchangeable latent-variable models
Stéphane Bonhomme (),
Koen Jochmans and
Journal of Econometrics, 2017, vol. 201, issue 2, 237-248
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.
Keywords: Latent variable models; Unobserved heterogeneity; Finite mixtures; Hidden Markov models; Nonparametric estimation; Panel data; Wage dynamics (search for similar items in EconPapers)
JEL-codes: C14 C33 C38 J31 (search for similar items in EconPapers)
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Working Paper: Nonparametric estimation of non-exchangeable latent-variable models (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:201:y:2017:i:2:p:237-248
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