Person:
Wei, Siqi

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Siqi
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Wei
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IE University
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IE Business School
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Economics
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Now showing 1 - 3 of 3
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    Publication
    Estimating Latent-Variable Panel Data Models Using Parameter-Expanded SEM Methods
    (Taylor & Francis, 2024-07-15) Wei, Siqi; https://ror.org/02jjdwm75
    This article presents new estimation algorithms for three types of dynamic panel data models with latentvariables: factor models, discrete choice models, and persistent-transitory quantile processes. The newmethods combine the parameter expansion (PX) ideas of Liu, Rubin, and Wu with the stochastic expectation-maximization (SEM) algorithm in likelihood and moment-based contexts. The goal is to facilitate conver-gence in models with a large space of latent variables by improving algorithmic efficiency. This is achieved byspecifying expanded models within the M step. Effectively, we are proposing new estimators for the pseudo-data within iterations that take into account the fact that the model of interest is misspecified for drawsbased on parameter values far from the truth. We establish the asymptotic equivalence of the likelihood-based PX-SEM to an alternative SEM algorithm with a smaller expected fraction of missing informationcompared to the standard SEM based on the original model, implying a faster global convergence rate.Finally, in simulations we show that the new algorithms significantly improve the convergence speed relativeto standard SEM algorithms, sometimes dramatically so, by reducing the total computing time from hoursto a few minutes.
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    Publication
    Income, Employment and Health Risks of Older Workers
    (Centro de Estudios Monetarios y Financieros, 2022-07) Wei, Siqi; Ministerio de Economía, Industria y Competitividad; María de Maeztu Programme for Units of Excellence in R&D; https://ror.org/02jjdwm75
    This paper begins with the observation that many olderworkers move to "bridge" jobs with lower wages and fewer working hours before exiting the labor force for good. To explain this gradual transition to full retirement, I propose a nonlinear agingrelated shock — mismatch shock, which mismatches workers with their existing job and triggers job leaves. I develop an empirical framework of employment and job transitions jointly with stochastic wage and hour processes to separate health risks, individual-specific productivity risks, firm-specific mismatch risks, quality of outside offers, and job destruction risks faced by older workers. The model is estimated with a sample of male individuals aged 51 to 70 in the US Health and Retirement Study applying a novel parameter-expanded stochastic EM algorithm. The paper finds that mismatch shocks play an important role in explaining the reduction in wages and hours for movers. Furthermore, I calculate the welfare cost of risks and quantify how much individuals value the possibility of a flexible transition to full retirement by constructing a utility-based structural model of consumption, employment and job movements where agents face the same risks as in the empirical model. The model is estimated using a novel simulation-based algorithm that exploits the connection to the empirical model and the estimates from the empirical model. The results show that the median cost of mismatch risks amounts to a reduction in consumption flow by 5?3%-7?1% depending on the education group. Banning job changes and re-entry causes a welfare loss equivalent to a consumption drop of 12% 4%.
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    Publication
    Income risk inequality: Evidence from Spanish administrative records
    (Wiley, 2022-12-01) Wei, Siqi; Bonhomme, Stéphane; De Vera, Micole; Hospido, Laura; Arellano, Manuel; Ministerio de Ciencia, Innovación y Universidades; https://ror.org/02jjdwm75
    In this paper, we use administrative data from the social security to study incomedynamics and income risk inequality in Spain between 2005 and 2018. We con-struct individual measures of income risk as functions of past employment his-tory, income, and demographics. Focusing on males, we document that incomerisk is highly unequal in Spain: More than half of the economy has close to perfectpredictability of their income, while some face considerable uncertainty. Incomerisk is inversely related to income and age, and income risk inequality increases.