Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso

• Main Authors: QIAN, Junhui, SU, Liangjun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2016
• Subjects: Adaptive Lasso; Change point; Group fused Lasso; Panel data; Penalized least squares; Penalized GMM; Structural change; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1745; https://ink.library.smu.edu.sg/context/soe_research/article/2744/viewcontent/ShrinkageEstimationCommonBreaksPanelDataModelsAdLasso_pp.pdf
• Institution: Singapore Management University

In this paper we consider estimation and inference of common breaks in panel data models via adaptive group fused Lasso. We consider two approaches—penalized least squares (PLS) for first-differenced models without endogenous regressors, and penalized GMM (PGMM) for first-differenced models with end...