Related papers: Efficient Peer Effects Estimators with Group Effec…
Propensity score methods have been shown to be powerful in obtaining efficient estimators of average treatment effect (ATE) from observational data, especially under the existence of confounding factors. When estimating, deciding which type…
This paper focuses on the multivariate linear mixed-effects model, including all the correlations between the random effects when the marginal residual terms are assumed uncorrelated and homoscedastic with possibly different standard…
This paper considers the maximum likelihood estimation of panel data models with interactive effects. Motivated by applications in economics and other social sciences, a notable feature of the model is that the explanatory variables are…
We consider a general multivariate model where univariate marginal distributions are known up to a parameter vector and we are interested in estimating that parameter vector without specifying the joint distribution, except for the…
Spatially varying coefficient (SVC) models are a type of regression model for spatial data where covariate effects vary over space. If there are several covariates, a natural question is which covariates have a spatially varying effect and…
This paper studies large $N$ and large $T$ conditional quantile panel data models with interactive fixed effects. We propose a nuclear norm penalized estimator of the coefficients on the covariates and the low-rank matrix formed by the…
Nonlinear mixed effects models have received a great deal of attention in the statistical literature in recent years because of their flexibility in handling longitudinal studies, including human immunodeficiency virus viral dynamics,…
This paper develops a peer effect model for count responses under rational expectations. The model accounts for heterogeneity in peer effects across groups based on observed characteristics. Identification is based on the linear model…
This paper studies the quasi-maximum-likelihood estimator (QMLE) in a general conditionally heteroscedastic time series model of multiplicative form $X_t=\sigma_tZ_t$, where the unobservable volatility $\sigma_t$ is a parametric function of…
This paper considers fixed effects estimation and inference in linear and nonlinear panel data models with random coefficients and endogenous regressors. The quantities of interest -- means, variances, and other moments of the random…
We propose a random-effects approach to missing values for generalized linear mixed model (GLMM) analysis. The method converts a GLMM with missing covariates to another GLMM without missing covariates. The standard GLMM analysis tools for…
We introduce an approach to deal with self-selection of peers in the linear-in-means model. Contrary to the existing proposals we do not require to specify a model for how the selection of peers comes about. Rather, we exploit two…
We investigate the finite sample performance of causal machine learning estimators for heterogeneous causal effects at different aggregation levels. We employ an Empirical Monte Carlo Study that relies on arguably realistic data generation…
Across research disciplines, cluster randomized trials (CRTs) are commonly implemented to evaluate interventions delivered to groups of participants, such as communities and clinics. Despite advances in the design and analysis of CRTs,…
Given that hierarchical count data in many fields are not Normally-distributed and include random effects, this paper extends the Generalized Linear Mixed Models (GLMMs) into Poisson Mixed-Effect Linear Model (PMELM) and do numerical…
Quantile regression is a powerful tool for detecting exposure-outcome associations given covariates across different parts of the outcome's distribution, but has two major limitations when the aim is to infer the effect of an exposure.…
Finite Mixture of Regressions (FMR) models are among the most widely used approaches in dealing with the heterogeneity among the observations in regression problems. One of the limitations of current approaches is their inability to…
This work studies the properties of the maximum likelihood estimator (MLE) of a non-linear model with Gaussian errors and multidimensional parameter. The observations are collected in a two-stage experimental design and are dependent since…
Bayesian reasoning in linear mixed-effects models (LMMs) is challenging and often requires advanced sampling techniques like Markov chain Monte Carlo (MCMC). A common approach is to write the model in a probabilistic programming language…
We develop an empirical Bayes (EB) G-modeling framework for short-panel linear models with nonparametric prior for the random intercepts, slopes, dynamics, and non-spherical error variances. We establish identification and consistency of…