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

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Authors

Lumsdaine, Robin L.; Okui, Ryo; Wang, Wendun

Issue Date
2022-01
Publisher
Elsevier BV
Citation
Journal of Econometrics
Abstract
© 2022 The AuthorsThis 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.
ISSN
0304-4076
URI
https://hdl.handle.net/10371/184127
DOI
https://doi.org/10.1016/j.jeconom.2022.01.001
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