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Convergence rate of estimators of clustered panel models with misclassication

Author

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  • Dzemski, Andreas

    (Department of Economics, School of Business, Economics and Law, Göteborg University)

  • Okui, Ryo

    (Department of Economics, School of Business, Economics and Law, Göteborg University)

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-speci c coe cients can be estimated at the parametric root NT rate even if error variances diverge as T ! 1 and some units are asymptotically misclassi ed. This limit case approximates empirically relevant settings and is not covered by existing asymptotic results.

Suggested Citation

  • Dzemski, Andreas & Okui, Ryo, 2020. "Convergence rate of estimators of clustered panel models with misclassication," Working Papers in Economics 790, University of Gothenburg, Department of Economics.
    • Handle: RePEc:hhs:gunwpe:0790
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    Cited by:

    1. is not listed on IDEAS
    2. Andreas Dzemski & Ryo Okui, 2024. "Confidence set for group membership," Quantitative Economics, Econometric Society, vol. 15(2), pages 245-277, May.
    3. 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.
    4. Langevin, R.;, 2024. "Consistent Estimation of Finite Mixtures: An Application to Latent Group Panel Structures," Health, Econometrics and Data Group (HEDG) Working Papers 24/16, HEDG, c/o Department of Economics, University of York.
    5. Pionati, Alessandro, 2025. "Latent grouped structures in panel data: a review," MPRA Paper 123954, University Library of Munich, Germany.

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    Keywords

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    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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