Panel Data Models with Interactive Fixed Effects and Multiple Structural Breaks

• Main Authors: LI, Degui, QIAN, Junhui, SU, Liangjun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: Change point; Interactive fixed effects; LASSO; Panel data; Penalized estimation; Principal component analysis; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1746; https://ink.library.smu.edu.sg/context/soe_research/article/2745/viewcontent/SuLJ_12_2015_PanelDataModelsInteractiveFE.pdf
• Institution: Singapore Management University

In this paper we consider estimation of common structural breaks in panel data models with unobservable interactive fixed effects. We introduce a penalized principal component (PPC) estimation procedure with an adaptive group fused LASSO to detect the multiple structural breaks in the models. Under...