2023/11/12 by Sid Kankanala, Kankanala, Sid
Decision Sciences · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Econometrics (econ.EM) #Economic theories and models #FOS: Computer and information sciences #FOS: Economics and business #Game Theory and Applications #Methodology (stat.ME)
paper · pdf · doi:10.48550/arxiv.2311.06831
openalex publication_date 2023/11/12 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.