Latent Position-Based Modeling of Parameter Heterogeneity by Julius Vainora

Join us for this weeks Econometrics Research Seminar, Spring Term 2024

Julius Vainora, from the University of Cambridge, will present their research on Latent Position-Based Modeling of Parameter Heterogeneity.

Abstract

This paper proposes to use the Generalized Random Dot Product Graph model and the underlying latent positions to model parameter heterogeneity. We discuss how the Stochastic Block Model and its existent extensions can be directly applied to model individual parameter heterogeneity. We also develop a new procedure to model pairwise parameter heterogeneity requiring the number of distinct latent distances between unobserved communities to be low. It is proven that, asymptotically, the heterogeneity pattern can be completely recovered. Additionally, we provide a test for the assumption on the number of distinct latent distances. Its finite sample performance is investigated via a Monte Carlo simulation. The proposed methods are illustrated using data on a household microfinance program, S&P 500 component stocks, and country democracy levels.

This seminar will be held on campus. This event is open to all levels of study and is also open to the public. To register your place and gain access to the webinar, please contact the seminar organisers.

This event is part of the Econometrics Research Seminar Series.