Homogeneity pursuit in panel data models: Theory and application

Homogeneity pursuit in panel data models: Theory and application

This paper studies the estimation of a panel data model with latent structures where individuals can be classified into different groups with the slope parameters being homogeneous within the same group but heterogeneous across groups. To identify the unknown group structure of vector parameters, we...

Full description

Saved in:
Bibliographic Details
Main Authors: WANG, Wuyi, PHILLIPS, Peter C. B., SU, Liangjun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2018
Subjects:
CARDS
Clustering
Heterogeneous slopes
Income and democracy
Minimum wage and employment
Oracle estimator
Panel structure model
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2189
https://ink.library.smu.edu.sg/context/soe_research/article/3188/viewcontent/Homogeneity_pursuit_in_panel_data_models_2016_pp.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English
Description
Summary:This paper studies the estimation of a panel data model with latent structures where individuals can be classified into different groups with the slope parameters being homogeneous within the same group but heterogeneous across groups. To identify the unknown group structure of vector parameters, we design an algorithm called Panel-CARDS. We show that it can identify the true group structure asymptotically and estimate the model parameters consistently at the same time. Simulations evaluate the performance and corroborate the asymptotic theory in several practical design settings. The empirical application reveals the heterogeneous grouping effect of income on democracy.

Similar Items