Quasi-Bayes in Latent Variable Models

Sid Kankanala

Papers from arXiv.org

Abstract: Latent variable models are widely used to account for unobserved determinants of economic behavior. This paper introduces a quasi-Bayes approach to nonparametrically estimate a large class of latent variable models. As an application, we model U.S. individual log earnings from the Panel Study of Income Dynamics (PSID) as the sum of latent permanent and transitory components. Simulations illustrate the favorable performance of quasi-Bayes estimators relative to common alternatives.

Date: 2023-11, Revised 2025-01
New Economics Papers: this item is included in nep-dcm and nep-ecm
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