arXiv 10 Dec 2024 · Econometrics
arXiv:2412.07352 · PDF · DOI · OpenAlex · Extracted main text
Approximating time-varying unobserved heterogeneity by discrete types has become increasingly popular in economics. Yet, provably valid post-clustering inference for target parameters in models that do not impose an exact group structure is still lacking. This paper fills this gap in the leading case of a linear panel data model with nonseparable two-way unobserved heterogeneity. Building on insights from the double machine learning literature, we propose a simple inference procedure based on a bias-reducing moment. Asymptotic theory and simulations suggest excellent performance. In the application on fiscal policy we revisit, the novel approach yields conclusions in line with economic theory.
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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, S., Lamadon, T., and Manresa, E (2022) Discretizing unobserved heterogeneity | 1.000 | 24 | 5 | 100% |
| 2 | Freeman, H. and Weidner, M (2023) Linear panel regressions with two-way unobserved heterogeneity | 1.000 | 17 | 7 | 100% |
| 3 | Westerlund, J. and Urbain, J.-P (2015) Cross-sectional averages versus principal components | 1.000 | 6 | 3 | 100% |
| 4 | Bai, J (2009) Panel data models with interactive fixed effects | 1.000 | 5 | 3 | 100% |
| 5 | Chernozhukov, V., Chetverikov, D., Demirer, M., Duflo, E., Hansen, C… (2018) Double/debiased machine learning for treatment and structural parameters | 0.928 | 4 | 3 | 100% |
| 6 | Pesaran, M. H (2006) Estimation and inference in large heterogeneous panels with a multifactor error structure | 0.928 | 4 | 3 | 100% |
| 7 | Mugnier, M (2025) A simple and computationally trivial estimator for grouped fixed effects models self | 0.811 | 4 | 2 | 100% |
| 8 | Bonhomme, S. and Manresa, E (2015) Grouped patterns of heterogeneity in panel data | 0.737 | 3 | 2 | 100% |
| 9 | James, A (2015) US state fiscal policy and natural resources | 0.644 | 4 | 1 | 100% |
| 10 | Athey, S. and Imbens, G (2025) Identification of average treatment effects in nonparametric panel models | 0.644 | 2 | 2 | 100% |
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arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.