Multi-dimensional latent group structures with heterogeneous distributions

Xuan Leng, Heng Chen and Wendun Wang

Journal of Econometrics, 2023, vol. 233, issue 1, 1-21

Abstract: This paper aims to identify the multi-dimensional latent grouped heterogeneity of distributional effects. We consider a panel quantile regression model with additive cross-section and time fixed effects. The cross-section effects and quantile slope coefficients are both characterized by grouped patterns of heterogeneity, but each unit can belong to different groups for cross-section effects and slopes. We propose a composite-quantile approach to jointly estimate multi-dimensional group memberships, slope coefficients, and fixed effects. We show that using multiple quantiles improves clustering accuracy if memberships are quantile-invariant. We apply the methods to examine the relationship between managerial incentives and risk-taking behavior.

Keywords: Composite quantile estimation; Distributional heterogeneity; Latent groups; Panel quantile regressions; Two-way fixed effects (search for similar items in EconPapers)
JEL-codes: C31 C33 C38 G31 J33 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:233:y:2023:i:1:p:1-21

DOI: 10.1016/j.jeconom.2021.09.005

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