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Convergence rate of estimators of clustered panel models with misclassification

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  • Dzemski, Andreas
  • Okui, Ryo

Abstract

We study kmeans clustering estimation of panel data models with a latent group structure and N units and T time periods under long panel asymptotics. We show that the group-specific coefficients can be estimated at the parametric NT-rate even if error variances diverge as T→∞ and consequently some units are asymptotically misclassified. This limit case approximates empirically relevant settings and is not covered by existing asymptotic results.

Suggested Citation

  • Dzemski, Andreas & Okui, Ryo, 2021. "Convergence rate of estimators of clustered panel models with misclassification," Economics Letters, Elsevier, vol. 203(C).
    • Handle: RePEc:eee:ecolet:v:203:y:2021:i:c:s016517652100121x
    DOI: 10.1016/j.econlet.2021.109844
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    1. Stéphane Bonhomme & Elena Manresa, 2015. "Grouped Patterns of Heterogeneity in Panel Data," Econometrica, Econometric Society, vol. 83(3), pages 1147-1184, May.
    2. Wuyi Wang & Peter C. B. Phillips & Liangjun Su, 2018. "Homogeneity pursuit in panel data models: Theory and application," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 797-815, September.
    3. Liangjun Su & Zhentao Shi & Peter C. B. Phillips, 2016. "Identifying Latent Structures in Panel Data," Econometrica, Econometric Society, vol. 84, pages 2215-2264, November.
    4. Hahn, Jinyong & Moon, Hyungsik Roger, 2010. "Panel Data Models With Finite Number Of Multiple Equilibria," Econometric Theory, Cambridge University Press, vol. 26(3), pages 863-881, June.
    5. Okui, Ryo & Wang, Wendun, 2021. "Heterogeneous structural breaks in panel data models," Journal of Econometrics, Elsevier, vol. 220(2), pages 447-473.
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    Cited by:

    1. Lumsdaine, Robin L. & Okui, Ryo & Wang, Wendun, 2023. "Estimation of panel group structure models with structural breaks in group memberships and coefficients," Journal of Econometrics, Elsevier, vol. 233(1), pages 45-65.

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    More about this item

    Keywords

    Panel data; Latent grouped structure; Clustering; kmeans; Convergence rate; Misclassification;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis

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