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Quasi-Bayes in Latent Variable Models

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  • Sid Kankanala

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.

Suggested Citation

  • Sid Kankanala, 2023. "Quasi-Bayes in Latent Variable Models," Papers 2311.06831, arXiv.org, revised Aug 2025.
    • Handle: RePEc:arx:papers:2311.06831
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    5. Geweke, John & Keane, Michael, 2000. "An empirical analysis of earnings dynamics among men in the PSID: 1968-1989," Journal of Econometrics, Elsevier, vol. 96(2), pages 293-356, June.
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