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 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.
Wang, Wuyi
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Phillips, Peter C.B.
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Su, Liangjun
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Wang, Wuyi
2a23cbcf-333c-4757-8a1d-e6797c60b982
Phillips, Peter C.B.
f67573a4-fc30-484c-ad74-4bbc797d7243
Su, Liangjun
e1137c6b-c51a-4408-b4b9-bfb3f26f7955
Wang, Wuyi, Phillips, Peter C.B. and Su, Liangjun
(2018)
Homogeneity pursuit in panel data models: theory and application.
Journal of Applied Econometrics.
(doi:10.1002/jae.2632).
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.
Text
Homogeneity_Pursuit_in_Panel_20180226B
- Accepted Manuscript
More information
Accepted/In Press date: 11 March 2018
e-pub ahead of print date: 1 June 2018
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Local EPrints ID: 421854
URI: http://eprints.soton.ac.uk/id/eprint/421854
ISSN: 0883-7252
PURE UUID: c5c81473-bc59-4513-aa26-d6e07182d8d7
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Date deposited: 02 Jul 2018 16:30
Last modified: 16 Mar 2024 06:44
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Author:
Wuyi Wang
Author:
Liangjun Su
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