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

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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書目詳細資料
Main Authors:	QIAN, Junhui, SU, Liangjun
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2016
主題:	Adaptive Lasso Change point Group fused Lasso Panel data Penalized least squares Penalized GMM Structural change Econometrics
在線閱讀:	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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