Estimation of panel group structure models with structural breaks in group memberships and coefficients

Robin L. Lumsdaine, Ryo Okui and Wendun Wang

Journal of Econometrics, 2023, vol. 233, issue 1, 45-65

Abstract: This paper considers linear panel data models with a grouped pattern of heterogeneity when the latent group membership structure and/or the values of slope coefficients change at a break point. We propose a least squares approach to jointly estimate the break point, group membership structure, and coefficients. The proposed estimators are consistent, and the asymptotic distribution of the coefficient estimators is identical to that under known break point and group structure even when the cross-sectional sample size is much larger than the length of time series. Monte Carlo simulations and an empirical example illustrate the use of the approach and associated inference.

Keywords: Panel data; Grouped patterns; Structural breaks; Group membership change (search for similar items in EconPapers)
JEL-codes: C23 C38 C51 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:233:y:2023:i:1:p:45-65

DOI: 10.1016/j.jeconom.2022.01.001

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