Grouped Heterogeneity in Linear Panel Data Models with Heterogeneous Error Variances
Bibliographic Data
| ID | 19418225 |
|---|---|
| Authors | Jhordano Aguilar Loyo (University of Groningen, Groningen, Netherlands), Tom Boot (0000-0003-1329-6173, University of Groningen, Groningen, Netherlands, corresponding author) |
| Year | 2025 |
| Volume | 43 |
| Issue | 1 |
| Pages | 68-80 |
| Publication date | 2025-01-02 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2024.2325440 |
| OpenAlex | W4392383470 |
| Language | EN |
| Citations received | 1 |
| References cited | 36 |
We develop a procedure to identify latent group structures in linear panel data models that exploits a grouping in the error variances of cross-sectional units. To accommodate such grouping, we introduce an objective function that avoids a singularity that arises in a pseudolikelihood approach. We provide theoretical and numerical evidence showing when allowing for variance groups improves classification. The developed procedure provides new evidence on the relation between firm-level research and development (R&D) investments and the business cycle. We find a well-defined group structure in the variances that ex-post can be related to firm size. Our estimates indicate stronger procyclical investment patterns at medium-size firms compared to large firms
Business cycle · Econometrics · Economics · Exploit · Panel data · Statistics · Computer Science · Economic Growth and Productivity · Mathematics · Regional Economics and Spatial Analysis · Spatial and Panel Data Analysis · Accounting
| Citations per year | 1 |
|---|---|
| Citation span | 2026 - 2026 (1) |
| Highly cited | No |