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Nonparametric estimation of non-exchangeable latent-variable models

Author

Listed:
  • Stéphane Bonhomme

    (University of Chicago)

  • Koen Jochmans

    (ECON - Département d'économie (Sciences Po) - Sciences Po - Sciences Po - CNRS - Centre National de la Recherche Scientifique)

  • Jean-Marc Robin

    (ECON - Département d'économie (Sciences Po) - Sciences Po - Sciences Po - CNRS - Centre National de la Recherche Scientifique, Economics department - MIT - Massachusetts Institute of Technology)

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.

Suggested Citation

  • Stéphane Bonhomme & Koen Jochmans & Jean-Marc Robin, 2017. "Nonparametric estimation of non-exchangeable latent-variable models," Post-Print hal-03264006, HAL.
    • Handle: RePEc:hal:journl:hal-03264006
    DOI: 10.1016/j.jeconom.2017.08.006
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    Cited by:

    1. Antoine Djogbenou & Christian Gouriéroux & Joann Jasiak & Maygol Bandehali, 2024. "Composite Likelihood for Stochastic Migration Model with Unobserved Factor," Journal of Financial Econometrics, Oxford University Press, vol. 22(5), pages 1421-1455.
    2. Jochmans, Koen, 2024. "Nonparametric identification and estimation of stochastic block models from many small networks," Journal of Econometrics, Elsevier, vol. 242(2).
    3. Oliver Cassagneau-Francis, 2022. "Essays on skills and education [Essais sur les compétences et l'éducation]," Sciences Po Economics Publications (main) tel-03857494, HAL.
    4. Martin Garcia-Vazquez, 2021. "Identification and Estimation of Non-stationary Hidden Markov Models," Working Papers 2021-023, Human Capital and Economic Opportunity Working Group.

    More about this item

    Keywords

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    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • J31 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Wage Level and Structure; Wage Differentials

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