Panel Data Models with Time-Varying Latent Group Structures Article Swipe

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Yiren Wang , Peter C.B. Phillips , Liangjun Su ·

YOU? · · 2023 · Open Access · · DOI: https://doi.org/10.48550/arxiv.2307.15863

This paper considers a linear panel model with interactive fixed effects and unobserved individual and time heterogeneities that are captured by some latent group structures and an unknown structural break, respectively. To enhance realism the model may have different numbers of groups and/or different group memberships before and after the break. With the preliminary nuclear-norm-regularized estimation followed by row- and column-wise linear regressions, we estimate the break point based on the idea of binary segmentation and the latent group structures together with the number of groups before and after the break by sequential testing K-means algorithm simultaneously. It is shown that the break point, the number of groups and the group memberships can each be estimated correctly with probability approaching one. Asymptotic distributions of the estimators of the slope coefficients are established. Monte Carlo simulations demonstrate excellent finite sample performance for the proposed estimation algorithm. An empirical application to real house price data across 377 Metropolitan Statistical Areas in the US from 1975 to 2014 suggests the presence both of structural breaks and of changes in group membership.

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Estimator Group (periodic table) Panel data Mathematics Monte Carlo method Binary number Algorithm Statistics Econometrics Computer science Organic chemistry Chemistry Arithmetic

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Type: preprint
Language: en
Landing Page: http://arxiv.org/abs/2307.15863
PDF: https://arxiv.org/pdf/2307.15863
OA Status: green
Cited By: 5
Related Works: 10
OpenAlex ID: https://openalex.org/W4385473535

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DOI: https://doi.org/10.48550/arxiv.2307.15863

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Title: Panel Data Models with Time-Varying Latent Group Structures

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Type: preprint

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Language: en

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Publication year: 2023

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Publication date: 2023-07-29

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Authors: Yiren Wang, Peter C.B. Phillips, Liangjun Su

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Landing page: https://arxiv.org/abs/2307.15863

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Concepts: Estimator, Group (periodic table), Panel data, Mathematics, Monte Carlo method, Binary number, Algorithm, Statistics, Econometrics, Computer science, Organic chemistry, Chemistry, Arithmetic

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Cited by: 5

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Citations by year (recent): 2025: 3, 2024: 1, 2021: 1

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