Convergence rate of estimators of clustered panel models with misclassification

2020/08/11 by Dzemski, Andreas, Okui, Ryo
#Econometrics (econ.EM) #FOS: Economics and business #FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.2008.04708

Abstract

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 → ∞ and some units are asymptotically misclassified. This limit case approximates empirically relevant settings and is not covered by existing asymptotic results.

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