Grouped Patterns of Heterogeneity in Panel Data

2015/05/01 by Stéphane Bonhomme, Elena Manresa · 4 citations
Economics, Econometrics and Finance · Social Sciences · #Spatial and Panel Data Analysis #Income, Poverty, and Inequality #Economics of Agriculture and Food Markets

paper · pdf · doi:10.3982/ecta11319

openalex publication_date 2015/05/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/01

Abstract

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.

Citations

• PRACTITIONERS’ CORNER: Computing Robust Standard Errors for Within‐groups Estimators*
• Some Social Requisites of Democracy: Economic Development and Political Legitimacy
• Biases in Dynamic Models with Fixed Effects
• K‐means clustering: A half‐century synthesis

Cited by

• A Distributional Framework for Matched Employer Employee Data
• Democracy Does Cause Growth
• Causal models for longitudinal and panel data: a survey
• A practitioner’s guide to panel data quantile regression
• Stéphane Bonhomme [wikipedia]

Related

• A Simple and Computationally Trivial Estimator for Grouped Fixed Effects Models
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