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

Robin Lumsdaine, Ryo Okui, Wendun Wang*

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

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.

Original languageEnglish
JournalJournal of Econometrics
DOIs
Publication statusPublished - 2022

Bibliographical note

Funding Information:
Okui acknowledges financial support from School of Social Sciences of Seoul National University, Republic of Korea , New Faculty Startup Grant of Seoul National University, Republic of Korea and the Housing and Commercial Bank Economic Research Fund for Institute of Economic Research of Seoul National University, Republic of Korea . The authors would also like to thank Serena Ng (Editor), the associate editor, two anonymous referees, Eiji Kurozumi, Sang Yoon (Tim) Lee, Hyungsik Roger Moon, Bent Nielsen, Liangjun Su, seminar and session participants of the Asian Meeting of the Econometric Society 2019, the International Association for Applied Econometrics Annual Conference 2019, the Korean Economic Review International Conference 2019, the Society for Financial Econometrics Annual Conference 2021, the 2021 Spanish Workshop in Time Series Econometrics, Queen Mary University of London, University of Oxford, Nanyang Technological University, Sciences Po, and the University of Tokyo for their valuable comments and suggestions.

Funding Information:
Okui acknowledges financial support from School of Social Sciences of Seoul National University, Republic of Korea, New Faculty Startup Grant of Seoul National University, Republic of Korea and the Housing and Commercial Bank Economic Research Fund for Institute of Economic Research of Seoul National University, Republic of Korea. The authors would also like to thank Serena Ng (Editor), the associate editor, two anonymous referees, Eiji Kurozumi, Sang Yoon (Tim) Lee, Hyungsik Roger Moon, Bent Nielsen, Liangjun Su, seminar and session participants of the Asian Meeting of the Econometric Society 2019, the International Association for Applied Econometrics Annual Conference 2019, the Korean Economic Review International Conference 2019, the Society for Financial Econometrics Annual Conference 2021, the 2021 Spanish Workshop in Time Series Econometrics, Queen Mary University of London, University of Oxford, Nanyang Technological University, Sciences Po, and the University of Tokyo for their valuable comments and suggestions.

Publisher Copyright:
© 2022 The Authors

Fingerprint

Dive into the research topics of 'Estimation of panel group structure models with structural breaks in group memberships and coefficients'. Together they form a unique fingerprint.

Cite this