Convergence rate of estimators of clustered panel models with misclassification

Estimation and inference for linear panel data models under misspecification when both $n$ and $T$ are large

This paper considers fixed effects (FE) estimation for linear panel data models under possible model misspecification when both the number of individuals, $n$, and the number of time periods, $T$, are large. We first clarify the probability limit of the FE estimator and argue that this probability limit can be regarded as a pseudo-true parameter. We then establish the asymptotic distributional properties of the FE estimator around the pseudo-true parameter when $n$ and $T$ jointly go to infinity. Notably, we show that the FE estimator suffers from the incidental parameters bias of which the to…

高维面板模型中的推断：双向依赖与未观测异质性

Inference in High-Dimensional Panel Models: Two-Way Dependence and Unobserved Heterogeneity

本文提出了一种适用于高维面板模型的工具包，通过改进的LASSO方法处理双向依赖和未观测异质性，实现稳健的推断。

在聚类未知情况下检验聚类相等预测能力

Testing Clustered Equal Predictive Ability with Unknown Clusters

研究在聚类未知时检验聚类相等预测能力的问题，采用选择性条件推断框架，推导成对相等性检验及截断集，提出$p$值组合方法，通过蒙特卡罗模拟和汇率预测实证验证了方法的有效性。

Panel Data with Unknown Clusters

Clustered standard errors and approximate randomization tests are popular inference methods that allow for dependence within observations. However, they require researchers to know the cluster structure ex ante. We propose a procedure to help researchers discover clusters in panel data. Our method is based on thresholding an estimated long-run variance-covariance matrix and requires the panel to be large in the time dimension, but imposes no lower bound on the number of units. We show that our procedure recovers the true clusters with high probability with no assumptions on the cluster structu…

Equal Predictive Ability Tests Based on Panel Data with Applications to OECD and IMF Forecasts

We propose two types of equal predictive ability (EPA) tests with panels to compare the predictions made by two forecasters. The first type, namely $S$-statistics, focuses on the overall EPA hypothesis which states that the EPA holds on average over all panel units and over time. The second, called $C$-statistics, focuses on the clustered EPA hypothesis where the EPA holds jointly for a fixed number of clusters of panel units. The asymptotic properties of the proposed tests are evaluated under weak and strong cross-sectional dependence. An extensive Monte Carlo simulation shows that the propos…

双方式聚类下的极值分位数

Extremal Quantiles under Two-Way Clustering

本文研究了双方式聚类下极值分位数的极限分布，证明其在退化情况下仍保持高斯分布，并通过实证分析验证了该结论的稳健性。