Economics at your fingertips  

Homogeneity pursuit in panel data models: Theory and application

Wuyi Wang, Peter Phillips () and Liangjun Su

Journal of Applied Econometrics, 2018, vol. 33, issue 6, 797-815

Abstract: This paper studies the estimation of a panel data model with latent structures where individuals can be classified into different groups with the slope parameters being homogeneous within the same group but heterogeneous across groups. To identify the unknown group structure of vector parameters, we design an algorithm called Panel‐CARDS. We show that it can identify the true group structure asymptotically and estimate the model parameters consistently at the same time. Simulations evaluate the performance and corroborate the asymptotic theory in several practical design settings. The empirical application reveals the heterogeneous grouping effect of income on democracy.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)

Related works:
Working Paper: Homogeneity Pursuit in Panel Data Models: Theory and Applications (2016) Downloads
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
http://www3.intersci ... e.jsp?issn=0883-7252

Access Statistics for this article

Journal of Applied Econometrics is currently edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2020-06-25
Handle: RePEc:wly:japmet:v:33:y:2018:i:6:p:797-815