Heterogeneous Grouping Structures in Panel Data

  • Wed 13 Dec 23

    15:00 - 16:30

  • Event speaker

    Professor George Kapetanios, King's Business School

  • Contact details

    Dr Ilias Chronopoulos

The Essex Centre for Macro and Financial Econometrics brings together academic and industry expertise from inside and outside the University of Essex to research and help solve important issues in financial markets.

Seminar summary

In this paper we examine the existence of heterogeneity within a group, in panels with latent grouping structure. The assumption of within group homogeneity is prevalent in this literature. While the latter hypothesis makes inference powerful, it can be often restrictive. We allow for models with richer heterogeneity that can be found both in the cross-section and within a group, without imposing the simple assumption that all groups must be heterogeneous. We further contribute to the method proposed by \cite{su2016identifying}, by showing that the model parameters can be consistently estimated and the groups, while unknown, can be identifiable in the presence of different types of heterogeneity. In the same framework we consider the validity of assuming both cross-sectional and within group homogeneity, i.e. $\eta _{i}=0$ and $\alpha _{k}=\alpha $ respectively, where $\eta_i$ is an idiosyncratic component and $\alpha_k$ the group specific parameter, using testing procedures. Simulations demonstrate good finite-sample performance of the approach in both classification and estimation, while empirical applications across several datasets reject the hypothesis of within group homogeneity.


How to join this seminar

This seminar will take place on Wednesday 13 December 2023 at 3pm.

We warmly welcome you to join us in person in EBS.2.41, Essex Business School Building, Colchester Campus.

If you are unable to make it to us the seminar will be available to watch live on Zoom. Please contact Dr Ilias Chronopoulos for the passcode.


Speaker bio

Professor George Kapetanios

George Kapetanios is Professor of Finance and Econometrics and Head of Department, Banking & Finance at King's Business School. He joined King's in September 2015. He holds an MSc from the London School of Economics and Political Science and a PhD from Cambridge University.

Prior to joining King's he worked at the National Institute of Economic and Social Research and the Bank of England. He was Professor at Queen Mary, University of London, where he was also Head of the School of Economics and Finance between 2007 and 2014.
George's main research focuses are on the econometrics of structural change, the analysis of large data sets and applications of these to empirical finance and macroeconomics.

He has published widely in econometrics and finance in peer-reviewed journals, including Econometrica, Annals of Statistics, and the Journal of Econometrics among others.