Identification and estimation in panel models with overspecified number of groups

<p>In this thesis, we provide a simple approach to identify and estimate group structure in panel models by adapting the M-estimationmethod. We consider both linear and nonlinear panel models where the regression coefficients are heterogeneous across groups but homogeneous within a group and the group membership is unknown to researchers. The main result of the thesis is that under certain assumptions, our approach is able to provide uniformly consistent group parameter estimator as long as the number of groups used in estimation is not smaller than the true number of groups. We also show that, with probability approaching one, our method can partition some true groups into further subgroups, but cannot mix individuals from different groups. When the true number of groups is used in estimation, all the individuals can be categorized correctly with probability approaching one, and we establish the limiting distribution for the estimates of the group parameters. In addition, we provide an information criterion to choose the number of group and established its consistency under some mild conditions. Monte Carlo simulations are conducted to examine the finite sample performance of our proposed method. Findings in the simulation confirm our theoretical results in the paper. Application to labor force participation also highlights the necessity to take into account of individual heterogeneity and group heterogeneity.</p>

Name thesis:degree_name

Doctor of Philosophy (PhD)

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Mathematical Sciences

Year dc:date.available

2018

Author dc:creator

• Liu, Ruiqi

Contributors dc:contributor

• Anton Schick

• Pure sciences; Asymptotic theory; M-estimation method
• Statistics and Probability

Repository record dc:identifier

https://orb.binghamton.edu/dissertation_and_theses/96

OAI identifier oai:identifier

oai:orb.binghamton.edu:dissertation_and_theses-1101