Sieve Estimation of Time-Varying Panel Data Models with Latent Structures

• Main Authors: SU, Liangjun, WANG, Xia, JIN, Sainan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: Classifier-Lasso; Functional coefficient; Heterogeneity; Latent structure; Panel data; Penalized sieve estimation; Polynomial splines; Time-varying coefficients; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1723; https://ink.library.smu.edu.sg/context/soe_research/article/2722/viewcontent/SuLJ_2015_ShrinkageEstimationDynamicPanelDataModelsInteractive.pdf
• Institution: Singapore Management University

We consider the problem of determining the number of factors and selecting the proper regressors in linear dynamic panel data models with interactive fixed effects. Based on the preliminary estimates of the slope parameters and factors a la Bai and Ng (2009) and Moon andWeidner (2014a), we propose a...