Grouped Patterns Of Heterogeneity In Panel Data
AbstractThis paper introduces time-varying grouped patterns of heterogeneity in linear panel data models. A distinctive feature of our approach is that group membership is left unspecified. We estimate the model’s parameters using a “grouped fixed-effects” estimator that minimizes a least-squares criterion with respect to all possible groupings of the cross-sectional units. We rely on recent advances in the clustering literature for fast and efficient computation. Our estimator is higher-order unbiased as both dimensions of the panel tend to infinity, under conditions that we characterize. As a result, inference is not affected by the fact that group membership is estimated. We apply our approach to study the link between income and democracy across countries, while allowing for grouped patterns of unobserved heterogeneity. The results shed new light on the evolution of political and economic outcomes of countries.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by CEMFI in its series Working Papers with number wp2012_1208.
Date of creation: Jun 2012
Date of revision:
Discrete heterogeneity; panel data; fixed effects; democracy.;
Find related papers by JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Martin Browning & Jesus M. Carro, 2009.
"Dynamic binary outcome models with maximal heterogeneity,"
Economics Series Working Papers
426, University of Oxford, Department of Economics.
- Martin Browning & Jesus M. Carro, 2007. "Dynamic Binary Outcome Models with Maximal Heterogeneity," CAM Working Papers 2009-08, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics, revised Feb 2009.
- Martin Browning & Jesus M. Carro, 2009. "Dynamic binary outcome models with maximal heterogeneity," Economics Working Papers we091710, Universidad Carlos III, Departamento de Economía.
- Browning, Martin & Carro, Jesús M., . "Dynamic binary outcome models with maximal heterogeneity," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/3802, Universidad Carlos III de Madrid.
- Durlauf,S.N. & Kourtellos,A. & Minkin,A., 2000.
"The local Solow growth model,"
21, Wisconsin Madison - Social Systems.
- Sam Schulhofer-Wohl, 2011.
"Heterogeneity and Tests of Risk Sharing,"
Journal of Political Economy,
University of Chicago Press, vol. 119(5), pages 925 - 958.
- Papaioannou, Elias & Siourounis, Gregorios, 2008.
"Economic and social factors driving the third wave of democratization,"
Journal of Comparative Economics,
Elsevier, vol. 36(3), pages 365-387, September.
- Papaioannou, Elias & Siourounis, Gregorios, 2008. "Economic and Social Factors Driving the Third Wave of Democratization," CEPR Discussion Papers 6986, C.E.P.R. Discussion Papers.
- Hansen, Christian B., 2007. "Asymptotic properties of a robust variance matrix estimator for panel data when T is large," Journal of Econometrics, Elsevier, vol. 141(2), pages 597-620, December.
- Geweke, John & Keane, Michael, 2007. "Smoothly mixing regressions," Journal of Econometrics, Elsevier, vol. 138(1), pages 252-290, May.
- Manuel Arellano & Stephane Bonhomme, 2006.
"Robust Priors In Nonlinear Panel Data Models,"
- Brückner, Markus & Ciccone, Antonio, 2008.
"Rain and the Democratic Window of Opportunity,"
CEPR Discussion Papers
6691, C.E.P.R. Discussion Papers.
- Markus Bruckner & Antonio Ciccone, 2010. "Rain and the Democratic Window of Opportunity," Working Papers 1010, BBVA Bank, Economic Research Department.
- Markus Brückner & Antonio Ciccone, 2008. "Rain and the democratic window of opportunity," Economics Working Papers 1114, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2009.
- Markus Brückner & Antonio Ciccone, 2009. "Rain and the Democratic Window of Opportunity," Working Papers 2009-38, FEDEA.
- Markus Brückner, 2010. "Rain and the Democratic Window of Opportunity," 2010 Meeting Papers 224, Society for Economic Dynamics.
- Manuel Arellano & Stéphane Bonhomme, 2009.
"Identifying distributional characteristics in random coefficients panel data models,"
CeMMAP working papers
CWP22/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Manuel Arellano & Stéphane Bonhomme, 2009. "Identifying Distributional Characteristics In Random Coefficients Panel Data Models," Working Papers wp2009_0904, CEMFI.
- Hahn, Jinyong & Moon, Hyungsik Roger, 2010. "Panel Data Models With Finite Number Of Multiple Equilibria," Econometric Theory, Cambridge University Press, vol. 26(03), pages 863-881, June.
- Hiroyuki Kasahara & Katsumi Shimotsu, 2009. "Nonparametric Identification of Finite Mixture Models of Dynamic Discrete Choices," Econometrica, Econometric Society, vol. 77(1), pages 135-175, 01.
- Antonio Ciccone, 2011. "Estimating the effect of transitory economic shocks on civil conflict," Economics Working Papers 1063, Department of Economics and Business, Universitat Pompeu Fabra.
- Vasilis Sarafidis & Tom Wansbeek, 2012.
"Cross-Sectional Dependence in Panel Data Analysis,"
Taylor and Francis Journals, vol. 31(5), pages 483-531, September.
- Martin Browning & Jesus Carro, 2006. "Heterogeneity and Microeconometrics Modelling," CAM Working Papers 2006-03, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Araceli Requerey).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.