Convergence rate of estimators of clustered panel models with misclassification

Andreas Dzemski; Ryo Okui

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arXiv · 2008.04708

Convergence rate of estimators of clustered panel models with misclassification

Andreas Dzemski·Ryo Okui

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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-specific coefficients can be estimated at the parametric root $NT$ rate even if error variances diverge as $T \to \infty$ and some units are asymptotically misclassified. This limit case approximates empirically relevant settings and is not covered by existing asymptotic results.

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Andreas Dzemski, Ryo Okui. 2020-08-11. Convergence rate of estimators of clustered panel models with misclassification. https://arxiv.org/abs/2008.04708

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