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Quantile-regression-based clustering for panel data

  • Yingying Zhang
  • , Huixia Judy Wang*
  • , Zhongyi Zhu
  • *Corresponding author for this work
  • Fudan University
  • Department of Statistics
  • George Washington University
  • Department of Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

In panel data analysis, it is important to identify subgroups of units with heterogeneous parameters. This can not only increase the model flexibility but also produce more efficient estimation by pooling information across units within the same group. In this paper, we propose a new quantile-regression-based clustering method for panel data. We develop an iterative algorithm using a similar idea of k-means clustering to identify subgroups with heterogeneous slopes at a single quantile level or across multiple quantiles. The asymptotic properties of the group membership estimator and corresponding group-specific slope estimator are established. The finite sample performance of the proposed method is assessed through simulation and the analysis of an economic growth data.

Original languageEnglish
Pages (from-to)54-67
Number of pages14
JournalJournal of Econometrics
Volume213
Issue number1
DOIs
StatePublished - Nov 2019
Externally publishedYes

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

  1. SDG 8 - Decent Work and Economic Growth
    SDG 8 Decent Work and Economic Growth

Keywords

  • Fixed effects
  • Heterogeneity
  • Panel data
  • Quantile regression
  • Subgroup identification

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