Three Essays On Unobserved Heterogeneity

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Three Essays On Unobserved Heterogeneity

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Author :
language : en
Publisher:
Release Date : 2007

Three Essays On Unobserved Heterogeneity written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.

Three Essays On Unobserved Heterogeneity

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Author : Sergio Samuel Urzua Soza
language : en
Publisher:
Release Date : 2006

Three Essays On Unobserved Heterogeneity written by Sergio Samuel Urzua Soza and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Economics, Mathematical categories.

*This dissertation is a compound document (contains both a paper copy and a CD as part of the dissertation). The CD requires the following system requirements: Adobe Acrobat.

Three Essays On Unobserved Heterogeneity In Panel And Network Data Models

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Author : Hualei Shang
language : en
Publisher:
Release Date : 2020

Three Essays On Unobserved Heterogeneity In Panel And Network Data Models written by Hualei Shang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.

This dissertation consists of three chapters that study unobserved heterogeneity in panel and network data models. In Chapter 1, I propose a semi-nonparametric panel data model with a latent group structure. I assume that individual parameters are heterogeneous across groups but homogeneous within a group while the group membership is unknown. I first approximate the infinite-dimensional function with a sieve expansion; then, I propose a Classifier-Lasso(C-Lasso) procedure to simultaneously identify the individuals' membership and estimate the group-specific parameters. I show that: (i) the classification exhibits uniform consistency; (ii) C-Lasso and post-Lasso estimators achieve oracle properties so that they are asymptotically equivalent to infeasible estimators as if the group membership is known; and (iii) the estimators are consistent and asymptotically normally distributed. Simulations demonstrate an excellent finite sample performance of this approach in both classification and estimation. In Chapter 2 (joint with Wenyu Zhou), we study a nonparametric additive panel regression model with grouped heterogeneity. The model can be regarded as a natural extension to the heterogeneous panel model studied in Su, Shi, and Phillips (2016). We propose to estimate the nonparametric components using a sieve-approximation-based Classifier-Lasso method. We establish the asymptotic properties of the estimator and show that they enjoy the so-called oracle property. In addition, we present the decision rule for group classification and establish its consistency. Then, a BIC-type information criterion is developed to determine the group pattern of each nonparametric component. We further investigate the finite sample performance of the estimation method and the information criterion through Monte Carlo simulations. Results show that both work well. Finally, we apply the model and the estimation method to study the demand for cigarettes in the United States using panel data of 46 states from 1963 to 1992. In Chapter 3, I study a network sample selection model in which 1) bilateral fixed effects enter the pairwise outcome equation additively; 2) link formation depends on latent variables from both sides nonparametrically. I first propose a four-cycle structure to difference out the fixed effects; next, utilizing the idea proposed in Auerbach (2019), I manage to use the kernel function to control for the selection bias. I then introduce estimators for the parameters of interest and characterize their asymptotic properties.

Three Essays On Continuous And Discrete Spatial Heterogeneity

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Author : Mauricio Alejandro Sarrias Jeraldo
language : en
Publisher:
Release Date : 2016

Three Essays On Continuous And Discrete Spatial Heterogeneity written by Mauricio Alejandro Sarrias Jeraldo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.

Continuous and discrete unobserved heterogeneity have been widely used in modeling discrete choice models. In this dissertation I investigate how these modeling strategies can be used to capture and model spatial heterogeneity or locally varying coefficients for different latent structures. In the first chapter, I outline the main advantages and disadvantages of both continuous and discrete spatial modeling strategies. Then I conduct a simulation experiment in order to understand the ability of both approaches to retrieve the true representation of the spatially varying process under small sample size situations. The results show that the data requirement to achieve lower bias in the continuous case is substantial compared with the discrete case. I have also found that, as the number of individuals per spatial unit increases, both models are able to identify the regional-specific estimates. However, the discrete case is able to retrieve the true spatial heterogeneity surface with lower bias and better coverage. In the second chapter, I show the Rchoice package for R that allows estimating models with individual heterogeneity for both cross-sectional and panel data. In particular, the package allows binary, ordinal and count response, as well as continuous and discrete covariates. This chapter is a general description of Rchoice and all functionalities are illustrated using real databases. The last chapter shows how continuous and discrete spatial heterogeneity models can be applied in order to analyze whether monetary subjective well-being eval- uations vary across space using a cross-sectional dataset from Chile. The results show that focusing just on the average estimates of compensating variations veils useful local variation. Moreover, the discrete approach shows some weak superiority over the continuous case in terms of model fit and interpretation.

Three Essays On Simulation Based Estimation Of Multivariate Models With Unobserved Heterogeneity

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Author : Murat Khairzhanuly Munkin
language : en
Publisher:
Release Date : 2001

Three Essays On Simulation Based Estimation Of Multivariate Models With Unobserved Heterogeneity written by Murat Khairzhanuly Munkin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.

Three Essays On The Application Of Discrete Choice Models With Discrete Continuous Heterogeneity Distributions

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Author : Chen Wang
language : en
Publisher:
Release Date : 2016

Three Essays On The Application Of Discrete Choice Models With Discrete Continuous Heterogeneity Distributions written by Chen Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.

Unobserved heterogeneity is comprehensively acknowledged as an important feature to be considered in discrete choice modeling. Over the last decade, there were abundant studies showing the great outperformance of capturing unobserved heterogeneity of Mixed-Mixed Logit(MM-MNL) models. However, most empirical researches still use mixed logit(MIXL) models or latent class(LC) models which introduced strong assumptions on distributions of marginal utility. In this dissertation, a Mixed-Mixed Logit model(MM-MNL) that assumes a non-parametric mixing distribution for marginal utility is discussed. Consequently, three empirical studies solving different transportation problems are introduced.

Heterogeneity And Relative Concerns

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Author : Roberta Distante
language : en
Publisher:
Release Date : 2012

Heterogeneity And Relative Concerns written by Roberta Distante and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.

Uncovering Economic Behavior In Heterogeneous Institutional Environments

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Author : Jose Gabriel Castillo Garcia
language : en
Publisher:
Release Date : 2015

Uncovering Economic Behavior In Heterogeneous Institutional Environments written by Jose Gabriel Castillo Garcia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.

The three essays in this thesis foster the identification of unexpected influences of different institutional arrangements on economic outcomes. The first two essays, experimental in nature, analyze the impact of two different contexts within Public Goods Games (PGG) environments. The first essay documents exact replications of four classic experiments in PGG and cast unexpected results in contribution behavior. First, it shows how the attenuation effect in replication studies, well documented in other disciplines, is also pervasive in experimental economics. Not all previous findings replicate, and effects found in successful replications are much smaller. Second, it shows that experimental context matters; experimental subjects in Texas tend to contribute more and free ride less, across different experiments. The second essay analyzes whether democratic institutions have any impact on agency problems where group members face a centralized arrangement of sanctioning power. It offers novel evidence, although a weak effect, of the intrinsic incentives for pro-social behavior attached to legitimacy in democratic institutions to promote collective action and higher economic efficiency. Finally, the last essay offers an empirical alternative to unravel heterogeneous unobserved traits on credit market customers. Through the use of mixture density estimation methods and rich administrative data, it identifies different quality-types of clients for credit demand and default decisions. Credit customers differ in their individual preferences, as well as levels of foresight, strategic behavior; all unobserved by the principal (lender). Accounting for these unobserved traits improves the forecast of potential clients' behavior and offers alternatives for different contracts and risk-pricing strategies to reduce credit rationing. The electronic version of this dissertation is accessible from http://hdl.handle.net/1969.1/155533

Three Essays On Identification In Microeconometrics

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Author : Ju Hyun Kim
language : en
Publisher:
Release Date : 2014

Three Essays On Identification In Microeconometrics written by Ju Hyun Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.

I also provide numerical examples to illustrate identifying power of each restriction. The third chapter is joint work with Pierre-Andre Chiappori. In it, we identify the heterogeneous sharing rule in collective models. In such models, agents have their own preferences, and make Pareto efficient decisions. The econometrician can observe the household's (aggregate) demand, but not individual consumptions. We consider identification of `cross sectional' collective models, in which prices are constant over the sample. We allow for unobserved heterogeneity in the sharing rule and measurement errors in the household demand of each good. We show that nonparametric identification obtains except for particular cases (typically, when some of the individual Engel curves are linear). The existence of two exclusive goods is sufficient to identify the sharing rule, irrespective of the total number of commodities.

Essays On Uncovering And Treating Unobserved Heterogeneity

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Author : Jan-Michael Becker
language : en
Publisher:
Release Date : 2011

Essays On Uncovering And Treating Unobserved Heterogeneity written by Jan-Michael Becker and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.