Publication Type
Journal Article
Version
submittedVersion
Publication Date
9-2018
Abstract
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.
Keywords
CARDS, Clustering, Heterogeneous slopes, Income and democracy, Minimum wage and employment, Oracle estimator, Panel structure model
Discipline
Econometrics
Research Areas
Econometrics
Publication
Journal of Applied Econometrics
Volume
33
Issue
6
First Page
797
Last Page
815
ISSN
0883-7252
Identifier
10.1002/jae.2632
Publisher
Wiley
Citation
WANG, Wuyi; PHILLIPS, Peter C. B.; and SU, Liangjun.
Homogeneity pursuit in panel data models: Theory and application. (2018). Journal of Applied Econometrics. 33, (6), 797-815.
Available at: https://ink.library.smu.edu.sg/soe_research/2189
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1002/jae.2632