Determining the number of groups in latent panel structures with an application to income and democracy

• Main Authors: LU, Xun, SU, Liangjun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2017
• Subjects: Classifier Lasso; Dynamic panel; Latent structure; Penalized least square; Number of groups; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1748; https://ink.library.smu.edu.sg/context/soe_research/article/2747/viewcontent/Lu_et_al_2017_Quantitative_Economics.pdf
• Institution: Singapore Management University

We consider a latent group panel structure as recently studied by Su, Shi, and Phillips (2014), where the number of groups is unknown and has to be determined empirically. We propose a testing procedure to determine the number of roups. Our test is a residualbased LM-type test. We show that after be...