A Simple and Computationally Trivial Estimator for Grouped Fixed Effects Models
分组固定效应模型的简便低计算成本估计量AI 解读 ↓
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分组固定效应模型的简便低计算成本估计量AI 解读 ↓
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This paper introduces a new fixed effects estimator for linear panel data models with clustered time patterns of unobserved heterogeneity. The method avoids non-convex and combinatorial optimization by combining a preliminary consistent estimator of the slope coefficient, an agglomerative pairwise-differencing clustering of cross-sectional units, and a pooled ordinary least squares regression. Asymptotic guarantees are established in a framework where $T$ can grow at any power of $N$, as both $N$ and $T$ approach infinity. Unlike most existing approaches, the proposed estimator is computationally straightforward and does not require a known upper bound on the number of groups. As existing approaches, this method leads to a consistent estimation of well-separated groups and an estimator of common parameters asymptotically equivalent to the infeasible regression controlling for the true groups. An application revisits the statistical association between income and democracy.
潜在分组可能无法分离时面板模型的稳健推断
We develop 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 based on the conditional distribution of coefficient estimates given the group structure estimated from the data. The resulting inference procedures remain valid even when group separation fails (i.e., when the distributional properties of the group-specific coefficients are not…
潜在分组面板模型中个体特定系数的推断方法
This paper introduces statistical inference procedures for unit-specific coefficients in panel data models, where the coefficients exhibit a latent group structure. The proposed methods achieve efficiency gains by clustering units into a small number of groups, while explicitly accounting for the statistical uncertainty of group assignments. The core idea is to integrate standard inference procedures, such as the $t$-test and Wald tests, with confidence sets for group…
网络辅助的高维因子模型估计
This article takes advantage of group-level heterogeneity and network cohesion phenomenon to improve the estimation accuracy of approximate factor models. As large heterogeneous panels become available, a grouped pattern of unobserved heterogeneity in the panel data is highlighted. Clustering of factor loadings provides a solution to model group-level heterogeneity. Moreover, networks are frequently observed in economics and finance, which capture the interconnectivity…
有限混合模型的偏差缩减估计及面板潜在组结构应用
Finite mixture models are widely used in econometric analyses to capture unobserved heterogeneity. This paper shows that maximum likelihood estimation of finite mixtures of parametric densities can suffer from substantial finite-sample bias in all parameters under mild regularity conditions. The bias arises from the influence of outliers in component densities with unbounded or large support and increases with the degree of overlap among mixture components. I show that…
时变面板数据模型中潜在分组结构的估计
We consider panel data models where coefficients change smoothly over time and follow a latent group structure, being homogeneous within but heterogeneous across groups. To jointly estimate the group membership and group-specific coefficient trajectories, we propose FUSE-TIME, a pairwise adaptive group fused-Lasso estimator combined with polynomial spline sieves. We establish consistency, derive the asymptotic distributions of the penalized sieve estimator and its…
二元选择模型中的分组固定效应正则化
We study the application of the grouped fixed effects approach to binary choice models for panel data in presence of severe complete separation. Through data loss, complete separation may lead to biased estimates of Average Partial Effects and imprecise inference. Moreover, forecasts are not available for units without variability in the response configuration. The grouped fixed effects approach discretizes unobserved heterogeneity via k-means clustering, thus reducing the…