Grouped Patterns of Heterogeneity in Panel Data

• 成果类型: Article
• 署名作者: Bonhomme, Stephane; Manresa, Elena
• 署名单位: University of Chicago; Massachusetts Institute of Technology (MIT)
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA11319
• 发表日期: 2015
• 页码: 1147-1184
• 关键词: models; number; income

摘要

This paper introduces time-varying grouped patterns of heterogeneity in linear panel data models. A distinctive feature of our approach is that group membership is left unrestricted. We estimate the parameters of the model using a grouped fixed-effects estimator that minimizes a least squares criterion with respect to all possible groupings of the cross-sectional units. Recent advances in the clustering literature allow for fast and efficient computation. We provide conditions under which our estimator is consistent as both dimensions of the panel tend to infinity, and we develop inference methods. Finally, we allow for grouped patterns of unobserved heterogeneity in the study of the link between income and democracy across countries.