Scandinavian Working Papers in Economics
Working Papers in Economics,
University of Gothenburg, Department of Economics
No 790: Convergence rate of estimators of clustered panel models with misclassication
Andreas Dzemski () and Ryo Okui ()
Additional contact information
Andreas Dzemski: Department of Economics, School of Business, Economics and Law, Göteborg University, Postal: P.O. Box 640, SE 40530 GÖTEBORG, Sweden
Ryo Okui: Department of Economics, School of Business, Economics and Law, Göteborg University, Postal: P.O. Box 640, SE 40530 GÖTEBORG, Sweden
Abstract: We study kmeans clustering estimation of panel data models with a latent group structure and N units and T time periods under long panel asymptotics. We show that the group-speci c coe cients can be estimated at the parametric root NT rate even if error variances diverge as T ! 1 and some units are asymptotically misclassi ed. This limit case approximates empirically relevant settings and is not covered by existing asymptotic results.
Keywords: Panel data; latent grouped structure; clustering; kmeans; convergence rate; misclassication
15 pages, August 2020
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