Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
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...
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Main Authors: | QIAN, Junhui, SU, Liangjun |
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2016
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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 |
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Institution: | Singapore Management University |
Language: | English |
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