Denis Chetverikov, Elena Manresa
arXiv 26 Dec 2022 · Econometrics · 13 citations (OpenAlex)
arXiv:2212.13324 · PDF · DOI · OpenAlex · Extracted main text
In this paper, we develop spectral and post-spectral estimators for grouped panel data models. Both estimators are consistent in the asymptotics where the number of observations $N$ and the number of time periods $T$ simultaneously grow large. In addition, the post-spectral estimator is $\sqrt{NT}$-consistent and asymptotically normal with mean zero under the assumption of well-separated groups even if $T$ is growing much slower than $N$. The post-spectral estimator has, therefore, theoretical properties that are comparable to those of the grouped fixed-effect estimator developed by Bonhomme and Manresa (2015). In contrast to the grouped fixed-effect estimator, however, our post-spectral estimator is computationally straightforward.
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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 | Moon, R. and Weidner, M (2019) Nuclear norm regularized estimation of panel regression models | 1.000 | 7 | 3 | 100% |
| 2 | Bonhomme, S. and Manresa, E (2015) Grouped patterns of heterogeneity in panel data self | 0.979 | 16 | 7 | 94% |
| 3 | Vershynin, R (2018) High-dimensional probability: an introduction with applications in data science | 0.964 | 19 | 5 | 89% |
| 4 | Bai, J (2009) Panel data models with interactive fixed effects | 0.928 | 4 | 3 | 100% |
| 5 | Löffler, M., Zhang, A., and Zhou, H (2021) Optimality of spectral clustering in the Gaussian mixture model | 0.737 | 3 | 2 | 100% |
| 6 | Pesaran, H (2006) Estimation and inference in large heterogenous panels with a multifactor error structure | 0.644 | 4 | 1 | 100% |
| 7 | Vempala, S. and Wang, G (2004) A spectral algorithm for learning mixture models | 0.644 | 2 | 2 | 100% |
| 8 | Bai, J. and Ng, S (2002) Determining the number of factors in approximate factor models | 0.511 | 2 | 1 | 100% |
| 9 | Hahn, J. and Moon, R (2010) Panel data models with finite number of multiple equilibria | 0.511 | 2 | 1 | 100% |
| 10 | Arellano, M (1987) Computing robust standard errors for within-group estimators | 0.405 | 1 | 1 | 100% |
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