Title: Clustering dynamic panels of income data with robust interactive fixed effects
Authors: Kris Boudt - Vrije Universiteit Brussel (Belgium) [presenting]
Ewoud Heyndels - VUB (Belgium)
Abstract: The framework of interactive fixed effects is extended to make it robust against the presence of outliers. In each iteration the coefficients of the observable variables are estimated with robust regressions and the unobserved factors are extracted by calculating a robust covariance matrix and using this to determine robust eigenvectors. We apply the method to cluster income time series of Belgian independent entrepreneurs and to determine the unobserved factors.