We propose a new, computationally efficient way to approximate the “grouped fixed effects” (GFE) estimator of Bonhomme and Manresa (2015), which estimates grouped patterns unobserved heterogeneity. To do so, we generalize fuzzy C-means objective regression settings. As clustering exponent m $$ approaches 1, converges GFE objective, recast as standard generalized method moments problem. replicat...