Quasi-Bayes in Latent Variable Models
Econometrics
2025-08-12 v3 Methodology
Abstract
Latent variable models are widely used to account for unobserved determinants of economic behavior. This paper introduces a quasi-Bayes approach to nonparametrically estimate a large class of latent variable models. As an application, we model U.S. individual log earnings from the Panel Study of Income Dynamics (PSID) as the sum of latent permanent and transitory components. Simulations illustrate the favorable performance of quasi-Bayes estimators relative to common alternatives.
Keywords
Cite
@article{arxiv.2311.06831,
title = {Quasi-Bayes in Latent Variable Models},
author = {Sid Kankanala},
journal= {arXiv preprint arXiv:2311.06831},
year = {2025}
}
Comments
78 pages, 5 figures