Essays on large panel data models with two-way heterogeneity

• Main Author: WANG, Yiren
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2023
• Subjects: Panel quantile regression; two-way heterogeneity; low-rank; debiasing; nuclear norm regularization; sample splitting; specification tests; linear panel regression; interactive fixed effects; latent group structure; structural break; sequential testing K-means algorithm; Econometrics
• Online Access: https://ink.library.smu.edu.sg/etd_coll/498; https://ink.library.smu.edu.sg/context/etd_coll/article/1496/viewcontent/Dissertation_Yiren_WANG.pdf
• Institution: Singapore Management University

This dissertation consists of two papers that contribute to the estimation and inference theory of the panel data models with two-way slope heterogeneity. The first paper considers the panel quantile regression model with slope heterogeneity along both individuals and time. By modelling this two-way...