Spectral and post-spectral estimators for grouped panel data models

12/26/2022

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by   Denis Chetverikov, et al.

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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 √(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.