Determining the number of groups in latent panel structures with an application to income and democracy
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...
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sg-smu-ink.soe_research-27472020-04-01T06:23:44Z Determining the number of groups in latent panel structures with an application to income and democracy LU, Xun SU, Liangjun 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 being appropriately standardized, our test is asymptotically normally distributed under the null hypothesis of a given number of groups and has power to detect deviations from the null. Monte Carlo simulations show that our test performs remarkably well in finite samples. We apply our method to study the effect of income on democracy and find strong evidence of heterogeneity in the slope coefficients. Our testing procedure determines three latent groups among eighty-two countries. 2017-11-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/1748 info:doi/10.3982/QE517 https://ink.library.smu.edu.sg/context/soe_research/article/2747/viewcontent/Lu_et_al_2017_Quantitative_Economics.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Classifier Lasso Dynamic panel Latent structure Penalized least square Number of groups Econometrics |
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Classifier Lasso Dynamic panel Latent structure Penalized least square Number of groups Econometrics LU, Xun SU, Liangjun Determining the number of groups in latent panel structures with an application to income and democracy |
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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 being appropriately standardized, our test is asymptotically normally distributed under the null hypothesis of a given number of groups and has power to detect deviations from the null. Monte Carlo simulations show that our test performs remarkably well in finite samples. We apply our method to study the effect of income on democracy and find strong evidence of heterogeneity in the slope coefficients. Our testing procedure determines three latent groups among eighty-two countries. |
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LU, Xun SU, Liangjun |
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LU, Xun SU, Liangjun |
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LU, Xun |
title |
Determining the number of groups in latent panel structures with an application to income and democracy |
title_short |
Determining the number of groups in latent panel structures with an application to income and democracy |
title_full |
Determining the number of groups in latent panel structures with an application to income and democracy |
title_fullStr |
Determining the number of groups in latent panel structures with an application to income and democracy |
title_full_unstemmed |
Determining the number of groups in latent panel structures with an application to income and democracy |
title_sort |
determining the number of groups in latent panel structures with an application to income and democracy |
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Institutional Knowledge at Singapore Management University |
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2017 |
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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 |
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