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Article Dans Une Revue Journal of Econometrics Année : 2017

Nonparametric estimation of non-exchangeable latent-variable models

Résumé

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.

Dates et versions

hal-03264006 , version 1 (17-06-2021)

Identifiants

Citer

Stéphane Bonhomme, Koen Jochmans, Jean-Marc Robin. Nonparametric estimation of non-exchangeable latent-variable models. Journal of Econometrics, 2017, 201 (2), pp.237 - 248. ⟨10.1016/j.jeconom.2017.08.006⟩. ⟨hal-03264006⟩
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