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Denis Chetverikov (UCLA) – “Spectral and post-spectral estimators for grouped panel data models”
Paris Econometrics Seminar CREST – PSE – Sciences Po
Time: 06:00 pm – 07:15 pm
Date: 16th of October
Zoom : https://zoom.us/j/99074218510?pwd=bC92TXlQcFJvVVBSSVlUOGVudzhOZz09
Denis Chetverikov (UCLA) – Spectral and post-spectral estimators for grouped panel data models
In this paper, we develop spectral and post-spectral estimators for grouped panel data models. Both estimators are consistent in the asymptotics where the number of observations N and the number of time periods T simultaneously grow large. In addition, the post-spectral estimator is sqrt(NT)-consistent and asymptotically normal with mean zero under the assumption of well-separated groups even if T is growing much slower than N. The post-spectral estimator has, therefore, theoretical properties that are comparable to those of the grouped fixed-effect estimator developed by Bonhomme and Manresa (2015). In contrast to the grouped fixed-effect estimator, however, our post-spectral estimator is computationally straightforward.
Coauthored with Elena Manresa
Elia Lapenta – CREST/ENSAE
Philipp Ketz – CNRS/PSE
Clément de Chaisemartin – Sciences Po