Convergence rate of estimators of clustered panel models with misclassification

Autor:	Dzemski, Andreas, Okui, Ryo
Rok vydání:	2020
Předmět:	Economics - Econometrics Mathematics - Statistics Theory
Druh dokumentu:	Working Paper
Popis:	We study kmeans clustering estimation of panel data models with a latent group structure and $N$ units and $T$ time periods under long panel asymptotics. We show that the group-specific coefficients can be estimated at the parametric root $NT$ rate even if error variances diverge as $T \to \infty$ and some units are asymptotically misclassified. This limit case approximates empirically relevant settings and is not covered by existing asymptotic results. Comment: 14 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2008.04708 Zobrazit plný text záznamu View this record from Arxiv