arXiv 23 Nov 2025 · Econometrics
arXiv:2511.18550 · PDF · Extracted main text
This paper presents robust inference methods for general linear hypotheses in linear panel data models with latent group structure in the coefficients. We employ a selective conditional inference approach, deriving the conditional distribution of coefficient estimates given the group structure estimated from the data. Our procedure provides valid inference under possible violations of group separation, where distributional properties of group-specific coefficients remain unestablished. Furthermore, even when group separation does hold, our method demonstrates superior finite-sample properties compared to traditional asymptotic approaches. This improvement stems from our procedure's ability to account for statistical uncertainty in the estimation of group structure. We demonstrate the effectiveness of our approach through Monte Carlo simulations and apply the methods to two datasets on: (i) the relationship between income and democracy, and (ii) the cyclicality of firm-level R&D investment.
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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 and Manresa, Elena (2015) Grouped Patterns of Heterogeneity in Panel Data | 1.000 | 15 | 5 | 100% |
| 2 | Loyo, Jhordano Aguilar and Boot, Tom (2025) Grouped heterogeneity in linear panel data models with heterogeneous error variances | 1.000 | 10 | 3 | 100% |
| 3 | Gao, Lucy L. and Jacob Bien and Daniela Witten (2024) Selective Inference for Hierarchical Clustering | 1.000 | 7 | 4 | 100% |
| 4 | Patton, Andrew J. and Brian M. Weller (2023) Testing for Unobserved Heterogeneity via k-means Clustering | 1.000 | 6 | 4 | 100% |
| 5 | Yiqun T. Chen and Daniela M. Witten (2023) Selective inference for k-means clustering | 0.969 | 11 | 6 | 91% |
| 6 | Chen, Yiqun T and Gao, Lucy L (2024) Testing for a difference in means of a single feature after clustering | 0.928 | 4 | 3 | 100% |
| 7 | Okui, Ryo and Wang, Wendun (2021) Heterogeneous structural breaks in panel data models self | 0.843 | 3 | 3 | 100% |
| 8 | Wang, Yiren and Phillips, Peter C. B. and Su, Liangjun (2024) Panel data models with time-varying latent group structures | 0.811 | 4 | 2 | 100% |
| 9 | Lin, Chang-Ching and Ng, Serena (2012) Estimation of Panel Data Models with Parameter Heterogeneity when Group Membership is Unknown | 0.644 | 4 | 1 | 100% |
| 10 | Su, Liangjun and Shi, Zhentao and Phillips, Peter C. B (2016) Identifying Latent Structures in Panel Data | 0.644 | 4 | 1 | 100% |
Showing the top 10 of 71 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Detection Boundaries for Panel Slope Homogeneity Tests Under Small-Group Heterogeneity | 0.405 | 1 | 1 |
| 2 | Inference methods for unit-specific coefficients in panel data models with latent group structure | 0.405 | 1 | 1 |