Economics at your fingertips  

Estimation of Panel Data Models with Parameter Heterogeneity when Group Membership is Unknown

Lin Chang-Ching () and Serena Ng ()
Additional contact information
Lin Chang-Ching: Institute of Economics, Academia Sinica

Journal of Econometric Methods, 2012, vol. 1, issue 1, 14

Abstract: This paper proposes two methods for estimating panel data models with group specific parameters when group membership is not known. The first method uses the individual level time series estimates of the parameters to form threshold variables. The problem of parameter heterogeneity is turned into estimation of a panel threshold model with an unknown threshold value. The second method modifies the K-means algorithm to perform conditional clustering. Units are clustered based on the deviations between the individual and the group conditional means. The two approaches are used to analyze growth across countries and housing market dynamics across the states in the U.S.

Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13) Track citations by RSS feed

Downloads: (external link) ... .1000.xml?format=INT (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

Access Statistics for this article

More articles in Journal of Econometric Methods from De Gruyter
Bibliographic data for series maintained by Peter Golla ().

Page updated 2019-10-09
Handle: RePEc:bpj:jecome:v:1:y:2012:i:1:p:14:n:1