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A0251
Title: Nonparametric estimation of non-exchangeable latent-variable models Authors:  Koen Jochmans - Sciences Po (France) [presenting]
Abstract: The aim is to propose a two-step method to nonparametrically estimate multivariate models where the outcome variables are independent conditional on discrete latent variables. Applications include microeconometric models with discrete 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 time-invariant unobserved heterogeneity on PSID data.