Essays on heterogeneous large panel data models

• Main Author: MIAO, Ke
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2020
• Subjects: Dynamic panel; Latent group structure; Classification; Panel threshold regression; Cross sectional dependence; Economic growth; Financial development; Factor model; Nuclear-norm regularization; high-dimensional VAR; Finance; Growth and Development
• Online Access: https://ink.library.smu.edu.sg/etd_coll/290; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1290&context=etd_coll
• Institution: Singapore Management University

This dissertation consists of three papers which contribute to the estimation and inference theory of the heterogeneous large panel data models. The first chapter studies a panel threshold model with interactive fixed effects. The least-squares estimators in the shrinking-threshold-effect framework...