Department of Economics

Faculty of Arts and Social Sciences

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Seminar - Upcoming

   
 
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Upcoming
2013 Asia Summer Institute in Behavioral Economics
Asian Meeting of the Econometric Society 2013
Past Events

Department Seminar

Topic:                              

Determining the Number of Groups in Latent Panel Structures


Speaker:
Xun Lu
Hong Kong University of Science and Technology
Date: October 21, Tuesday

Time: 4:00 - 5:30 pm

Venue:

Silcock Journal Room (AS2 06-23)
National University of Singapore
1 Arts Link, Singapore 117570

Chair:

Sng Tuan Hwee

Abstract:

We consider a latent group panel structure as recently studied by Su, Shi, and Phillips (2013), where the number of groups is unknown and has to be determined empirically. We propose a testing procedure to determine the number of groups. Our test is a residual-based LM-type test. We show that after being appropriately standardized, our test is asymptotically normally distributed under the null hypothesis of a given number of groups and has power to detect deviations from the null. Monte Carlo simulations show that our test performs remarkably well in finite samples. We apply our method to study the effect of income on democracy and find strong evidence of heterogeneity in the slope coefficients. Our testing procedure determines three latent groups among eighty-two countries.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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