arXiv 16 Mar 2022 · Econometrics · publishedJournal of Econometrics (2025) · 7 citations (OpenAlex)
arXiv:2203.08879 · PDF · DOI · OpenAlex · Extracted main text
This paper introduces a new fixed effects estimator for linear panel data models with clustered time patterns of unobserved heterogeneity. The method avoids non-convex and combinatorial optimization by combining a preliminary consistent estimator of the slope coefficient, an agglomerative pairwise-differencing clustering of cross-sectional units, and a pooled ordinary least squares regression. Asymptotic guarantees are established in a framework where $T$ can grow at any power of $N$, as both $N$ and $T$ approach infinity. Unlike most existing approaches, the proposed estimator is computationally straightforward and does not require a known upper bound on the number of groups. As existing approaches, this method leads to a consistent estimation of well-separated groups and an estimator of common parameters asymptotically equivalent to the infeasible regression controlling for the true groups. An application revisits the statistical association between income and democracy.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Chetverikov and Manresa (2022) Spectral and post-spectral estimators for grouped panel data models | 0.693 | 18 | 1 | 100% |
| 2 | Bai (2009) Panel Data Models With Interactive Fixed Effects | 0.693 | 9 | 1 | 100% |
| 3 | Bonhomme and Manresa (2015) Grouped Patterns of Heterogeneity in Panel Data | 0.654 | 37 | 1 | 84% |
| 4 | Moon and Weidner (2019) Nuclear Norm Regularized Estimation of Panel Regression Models | 0.652 | 12 | 1 | 83% |
| 5 | Bonhomme, Lamadon, and Manresa (2022) Discretizing Unobserved Heterogeneity | 0.644 | 4 | 1 | 100% |
| 6 | Zeleneev (2020) Identification and Estimation of Network Models with Nonparametric Unobserved Heterogeneity | 0.644 | 4 | 1 | 100% |
| 7 | Acemoglu, Johnson, Robinson, and Yared (2008) Income and Democracy | 0.585 | 3 | 1 | 100% |
| 8 | Beyhum and Gautier (2023) Factor and Factor Loading Augmented Estimators for Panel Regression With Possibly Nonstrong Factors | 0.585 | 3 | 1 | 100% |
| 9 | Chernozhukov, Hansen, Liao, and Zhu (2019) Inference for Heterogeneous Effects using Low-Rank Estimation of Factor Slopes | 0.511 | 3 | 1 | 67% |
| 10 | Auerbach (2022) Identification and Estimation of a Partially Linear Regression Model Using Network Data | 0.511 | 2 | 1 | 100% |
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