Nonlinear factor models for network and panel data
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Publication:2224978
DOI10.1016/J.JECONOM.2020.04.004zbMATH Open1464.62499arXiv1412.5647OpenAlexW2807979056MaRDI QIDQ2224978FDOQ2224978
Authors: Ming-Li Chen, Iván Fernández-Val, Martin Weidner 
Publication date: 4 February 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Abstract: Factor structures or interactive effects are convenient devices to incorporate latent variables in panel data models. We consider fixed effect estimation of nonlinear panel single-index models with factor structures in the unobservables, which include logit, probit, ordered probit and Poisson specifications. We establish that fixed effect estimators of model parameters and average partial effects have normal distributions when the two dimensions of the panel grow large, but might suffer of incidental parameter bias. We show how models with factor structures can also be applied to capture important features of network data such as reciprocity, degree heterogeneity, homophily in latent variables and clustering. We illustrate this applicability with an empirical example to the estimation of a gravity equation of international trade between countries using a Poisson model with multiple factors.
Full work available at URL: https://arxiv.org/abs/1412.5647
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factor modelspanel databias correctioninteractive fixed effectsnetwork dataincidental parameter problemgravity equation
Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to economics (62P20)
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Cited In (22)
- A James-Stein-type adjustment to bias correction in fixed effects panel models
- Statistical modelling of network panel data: Goodness of fit
- Unified inference for nonlinear factor models from panels with fixed and large time span
- The dynamic factor network model with an application to international trade
- Nonparametric identification of discrete choice models with lagged dependent variables
- SONIC: social network analysis with influencers and communities
- Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity
- The Incidental Parameters Problem in Testing for Remaining Cross-Section Correlation
- Asset Pricing via the Conditional Quantile Variational Autoencoder
- Network and panel quantile effects via distribution regression
- Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions
- Fixed‐Effect Regressions on Network Data
- Higher-Order Expansions and Inference for Panel Data Models
- Group fused Lasso for large factor models with multiple structural breaks
- High-dimensional overdispersed generalized factor model with application to single-cell sequencing data analysis
- GMM estimation for high-dimensional panel data models
- Two-step estimation of quantile panel data models with interactive fixed effects
- On Generalized Latent Factor Modeling and Inference for High-Dimensional Binomial Data
- Robust estimation of panel data regression models and applications
- Quantifying noise in survey expectations
- Latent unbalancedness in three-way gravity models
- Binary response models for heterogeneous panel data with interactive fixed effects
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