Convergence rate of estimators of clustered panel models with misclassification

08/11/2020

∙

by   Andreas Dzemski, et al.

∙

0

∙

share

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 →∞ and some units are asymptotically misclassified. This limit case approximates empirically relevant settings and is not covered by existing asymptotic results.