Econometrics Seminar Series. Inference after discretizing time-varying unobserved heterogeneity
Published: 6 September 2025
3 October 2025. Dr Jad Beyhum, KU Leuven
Dr Jad Beyhum (KU Leuven)
Inference after discretizing time-varying unobserved heterogeneity
Friday, 3 October 2025, 15:00–16:30
Room 386AB, Adam Smith Business School
Abstract
Approximating time-varying unobserved heterogeneity by discrete types has become increasingly popular in economics. Yet, provably valid post-clustering inference for target parameters in models that do not impose an exact group structure is still lacking. This paper fills this gap in the leading case of a linear panel data model with nonseparable two-way unobserved heterogeneity. Building on insights from the double machine learning literature, we propose a simple inference procedure based on a bias-reducing moment. Asymptotic theory and simulations suggest excellent performance. In the application on fiscal policy we revisit, the novel approach yields conclusions in line with economic theory.
Biography
Jad Beyhum is an Associate Professor of Economics at KU Leuven, specializing in econometrics. His research focuses on panel data, high-dimensional methods, duration models, and instrumental variables techniques.
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First published: 6 September 2025