Panel Sequential Group Estimation of Interactive Effects Models
Bibliographic Data
| ID | 21512971 |
|---|---|
| Authors | Ignace De Vos (0000-0002-6217-9160, Department of Econometrics and Data Science Vrije Universiteit Amsterdam Amsterdam the Netherlands), Joakim Westerlund (0000-0002-2461-351X, Department of Economics Lund University Lund Sweden) |
| Year | 2026 |
| Publication date | 2026-02-25 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Oxford Bulletin of Economics and Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0305-9049 • E-ISSN: 1468-0084 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1111/obes.70055 |
| OpenAlex | W7134197551 |
| Language | EN |
| References cited | 32 |
This paper proposes a novel procedure to identify latent groups in the slopes of panel data models with interactive effects. The method is straightforward to apply and relies only on closed‐form estimators when evaluating the objective function. This achieves substantial computational gains compared to alternative non‐linear methods and enables estimation even in large datasets. We establish consistency of the procedure and confirm through simulations its good finite sample properties and the validity of post‐grouping inference routines. The procedure's empirical usefulness is illustrated with applications to output growth and international trade
Estimation · Estimator · Indirect Inference · Inference · Panel data · Global trade and economics · Spatial and Panel Data Analysis · Statistical Methods and Inference
Cross-Sectional Dependence in Panel Data Analysis
Estimating and Testing Linear Models with Multiple Structural Changes
Determining the Number of Factors in Approximate Factor Models
Grouped Patterns of Heterogeneity in Panel Data
Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
| Citation velocity | historical |
|---|---|
| Highly cited | No |