Convergence rate of estimators of clustered panel models with misclassication

Andreas Dzemski () and Ryo Okui
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Andreas Dzemski: Department of Economics, School of Business, Economics and Law, Göteborg University, Postal: P.O. Box 640, SE 40530 GÖTEBORG, Sweden

No 790, Working Papers in Economics from University of Gothenburg, Department of Economics

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.

Keywords: Panel data; latent grouped structure; clustering; kmeans; convergence rate; misclassication (search for similar items in EconPapers)
JEL-codes: C23 C33 C38 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2020-08
New Economics Papers: this item is included in nep-ecm and nep-ore
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https://gupea.ub.gu.se/handle/2077/66141 Full text (text/html)

Related works:
Journal Article: Convergence rate of estimators of clustered panel models with misclassification (2021)
Working Paper: Convergence rate of estimators of clustered panel models with misclassification (2020)
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