Multi-dimensional Latent Group Structures with Heterogeneous Distributions

16:00-17:00, Friday, July 2, 2021

Tencent Meeting (Meeting ID: 718 646 485)

Dr. Xuan LENG joined the Department of Statistics, School of Economics, Xiamen University in 2019, and is an assistant professor at The Wang Yanan Institute for Studies in Economics. She was granted the Ph.D. in Statistics from University of Science and Technology of China (jointly trained by Georgia Institute of Technology, USA). She was also engaged in postdoctoral research in Erasmus University, Netherlands. Dr. Xuan LENG's rsearch interests include Panel Econometrics and Statistics of Extremes. Her research work has been published in Journal of Financial Econometrics, Extremes, Insurance: Mathematics and Economics and other journals. 

This paper aims to identify the multi-dimensional latent grouped heterogeneity of distributional effects. We consider a panel quantile regression model with additive cross-section and time fixed effects. The cross-section effects and quantile slope coefficients are both characterized by grouped patterns of heterogeneity, but each unit can belong to different groups for cross-section effects and slopes. We propose a composite-quantile approach to jointly estimate multi-dimensional group memberships, slope coefficients, and fixed effects. We show that using multiple quantiles improves clustering accuracy if memberships are quantile-invariant. We apply the methods to examine the relationship between managerial incentives and risk-taking behavior.

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