Covariate selection in mixture models with the censored response variable
Covariate selection in mixture models with the censored response variable
复制标题
具有删失响应变量的混合模型中的协变量选择
DOI：
10.1016/j.csda.2009.01.010
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发表时间：
2009
期刊：
影响因子：
--
通讯作者：
Zeng
中科院分区：
文献类型：
--
作者：
Zeng
本文建立了一个混合模型来模拟解释机制的未观察异质性。我们的模型允许不同的回归变量集和/或不同的回归制度中相同的回归变量之间的不同的相互作用。该模型被证明与特别感兴趣的删失因变量。一个两步的过程中提出的模型识别。第一步是确定每个制度的回归制度的数量，包括所有回归变量。第二步是在回归机制中选择回归变量。我们的模拟研究的结果表明，该程序工作良好。提供了两个微观计量经济学的应用。
This paper formulates a mixture model for modeling unobserved heterogeneity of explanatory mechanism. Our model allows for different sets of regressors and/or different interactions among the same regressors in different regression regimes. The model is demonstrated with particular interest to the censored dependent variable. A two-step procedure is proposed for model identification. The first step is to identify the number of regression regimes with each regime, including all regressors. The second step is to select regressors in the regression regimes. The results of our simulation studies suggest that the procedure works well. Two microeconometric applications are provided.