Convergence rate of estimators of clustered panel models with misclassification

Andreas Dzemski and Ryo Okui

Economics Letters, 2021, vol. 203, issue C

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.

Keywords: Panel data; Latent grouped structure; Clustering; kmeans; Convergence rate; Misclassification (search for similar items in EconPapers)
JEL-codes: C23 C33 C38 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Working Paper: Convergence rate of estimators of clustered panel models with misclassification (2020)
Working Paper: Convergence rate of estimators of clustered panel models with misclassication (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:203:y:2021:i:c:s016517652100121x

DOI: 10.1016/j.econlet.2021.109844

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