arXiv 14 May 2024 · Econometrics · 1 citations (OpenAlex)
arXiv:2405.08687 · PDF · DOI · OpenAlex · Extracted main text
This paper concerns the estimation of linear panel data models with endogenous regressors and a latent group structure in the coefficients. We consider instrumental variables estimation of the group-specific coefficient vector. We show that direct application of the Kmeans algorithm to the generalized method of moments objective function does not yield unique estimates. We newly develop and theoretically justify two-stage estimation methods that apply the Kmeans algorithm to a regression of the dependent variable on predicted values of the endogenous regressors. The results of Monte Carlo simulations demonstrate that two-stage estimation with the first stage modeled using a latent group structure achieves good classification accuracy, even if the true first-stage regression is fully heterogeneous. We apply our estimation methods to revisiting the relationship 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 | Bonhomme, Stéphane, Manresa, Elena (2015) Supplement to `Grouped patterns of heterogeneity in panel data' | 1.000 | 9 | 3 | 100% |
| 2 | Su, Liangjun, Shi, Zhentao, Phillips, Peter (2016) Identifying latent structures in panel data | 1.000 | 6 | 3 | 100% |
| 3 | Mehrabani, Ali (2023) Estimation and identification of latent group structures in panel data | 1.000 | 5 | 3 | 100% |
| 4 | Bonhomme, Stéphane, Manresa, Elena (2015) Grouped patterns of heterogeneity in panel data | 0.928 | 10 | 4 | 80% |
| 5 | Acemoglu, Daron, Johnson, Simon, Robinson, James A., Yared, Pierre (2008) Income and democracy | 0.737 | 3 | 2 | 100% |
| 6 | Hall, Alastair R, Han, Sanggohn, Boldea, Otilia (2012) Inference regarding multiple structural changes in linear models with endogenous regressors | 0.737 | 3 | 2 | 100% |
| 7 | Perron, Pierre, Yamamoto, Yohei (2015) Using OLS to estimate and test for structural changes in models with endogenous regressors | 0.644 | 2 | 2 | 100% |
| 8 | Qian, Junhui, Su, Liangjun (2014) Structural change estimation in time series regressions with endogenous variables | 0.644 | 2 | 2 | 100% |
| 9 | Ito, Tsubasa, Sugasawa, Shonosuke (2023) Grouped generalized estimating equations for longitudinal data analysis | 0.644 | 2 | 2 | 100% |
| 10 | Mugnier, Martin (2022) A simple and computationally trivial estimator for grouped fixed effects models | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 37 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Inference methods for unit-specific coefficients in panel data models with latent group structure | 0.405 | 1 | 1 |