Identifying Latent Structures in Panel Data
نویسندگان
چکیده
منابع مشابه
Identifying Latent Structures in Panel Data
This paper provides a novel mechanism for identifying and estimating latent group structures in panel data using penalized regression techniques. We focus on linear models where the slope parameters are heterogeneous across groups but homogenous within a group and the group membership is unknown. Two approaches are considered — penalized least squares (PLS) for models without endogenous regress...
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This appendix contains: identification and estimation results on higher-order moments (Section A), some results on efficiency bounds calculations (Sections B and C) and the computation of asymptotic standard errors (Section D); additional computations for the examples treated in the text (Section E); an outline of a test of the covariance structure of errors (Section F); the calculation of the ...
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(i) βt(xt → xt|Xi = x) = E[Yit|Xi = x′]− E[Yit|Xi = x], (ii) FYiτ |Xi(.|x) = FYiτ |Xi(.|x) Proof (i) follows by the correlated-random-effects assumption and h(x) = h(x′) βt(xt → xt|Xi = x′) = ∫ (ξt(x ′ t, a, u)− ξt(x, a, u))FAi,Uit|Xi(a, u|x ′) = E[Yit|Xi = xt]− ∫ ξt(xt, a, u))dFAi,Uit|Xi(a, u|h(x)) = E[Yit|Xi = x]− E[Yit|Xi = x]. ∗University of California, Davis, One Shields Ave, Davis CA 9561...
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Recent work on nonparametric identification of average partial effects (APEs) from panel data require restrictions on individual or time heterogeneity. Identifying assumptions under the “generalized first-differencing” category, such as time homogeneity (Chernozhukov, Fernandez-Val, Hahn, and Newey, 2013), have testable equality restrictions on the distribution of the outcome variable. This pap...
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Means or other central tendency measures are by far the most common focus of statistical analyses. However, as Carroll (2003) noted, "systematic dependence of variability on known factors" may be "fundamental to the proper solution of scientific problems" in certain settings. We develop a latent cluster model that relates underlying "clusters" of variability to baseline or outcome measures of i...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2448189