Supplement to "Identifying Latent Structures in Panel Data"

This supplement is composed of four parts. Section S1 contains the proofs of some technical lemmas for the proofs of the main results in Section 2.  Section S2 gives bias correction formulae in linear panel data models for both PPL and PGMM estimation. Sections S3 and S4 contain some additional simulation and applications results, respectively.

Supplemental Authors: 
Su, Liangjun - Singapore Management University
Shi, Zhentao - The Chinese University of Hong Kong
Phillips, Peter C. B. - Yale University
Online Appendix