Using Mixtures in Econometric Models: A Brief Review and Some New Results
Using Mixtures in Econometric Models: A Brief Review and Some New Results
复制标题
在计量经济模型中使用混合：简要回顾和一些新结果
DOI：
--
复制
发表时间：
2016
期刊：
影响因子：
--
通讯作者：
Y. Kitamura
中科院分区：
文献类型：
--
作者：
Giovanni Compiani;Y. Kitamura
本文研究混合模型在计量经济学中的应用。重点关注的是半参数和非参数模型，将混合分布，模型规格的重要问题出现。例如，有限混合物和连续混合物在模型可识别性方面存在显著差异。同样，潜在混合变量的维数是一个关键问题，特别是当使用连续混合物时。我们提出了混合模型的应用，以解决计量经济学中的各种问题，如未观察到的异质性和多重均衡。在不依赖于协变量的无穷大点识别假设的情况下，为具有可检验排除限制的有限混合模型开发了新的非参数识别结果。结果适用于具有连续和离散协变量的混合物，在弱条件下提供点识别。
This paper is concerned with applications of mixture models in econometrics. Focused attention is given to semiparametric and nonparametric models that incorporate mixture distributions, where important issues about model specifications arise. For example, there is a significant difference between a finite mixture and a continuous mixture in terms of model identifiability. Likewise, the dimension of the latent mixing variables is a critical issue, in particular when a continuous mixture is used. We present applications of mixture models to address various problems in econometrics, such as unobserved heterogeneity and multiple equilibria. New nonparametric identification results are developed for finite mixture models with testable exclusion restrictions without relying on an identification‐at‐infinity assumption on covariates. The results apply to mixtures with both continuous and discrete covariates, delivering point identification under weak conditions.
随机效用模型的非参数分析
DOI：
10.3982/ecta14478
发表时间：
2018
期刊：
arXiv: Statistics Theory
影响因子：
--
作者：
Y. Kitamura;J. Stoye
通讯作者：
J. Stoye