Work

Estimation of Panel Group Structure Models with Structural Breaks in Group Memberships and Coefficients

Year: 2020

Type: article

Abstract: This paper considers linear panel data models with a grouped pattern of heterogeneity when the latent group membership structure and/or the values of slope coefficients change at a break point. We propose a least squares approach to jointly estimate the break point, group membership structure, and coefficients. The proposed estimators are consistent, and the asymptotic distribution of the coefficient estimators is identical to that under known break point and group structure even when the cross-sectional sample size is much larger than the length of time series. Monte Carlo simulations and an empirical example illustrate the use of the approach and associated inference.

Source: Journal of Econometrics

DOI: 10.1016/j.jeconom.2022.01.001

Authors: Robin L. Lumsdaine, Ryo Okui, Wendun Wang

Institutions: National Bureau of Economic Research, American University, Tinbergen Institute, Erasmus University Rotterdam, Seoul National University

Language: English

Topic: Spatial and Panel Data Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $2,200