Panel Data Models with Interactive Fixed Effects and Multiple Structural Breaks

• Main Authors: LI, Degui, QIAN, Junhui, SU, Liangjun
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2015
• 主題: Change point; Interactive fixed effects; LASSO; Panel data; Penalized estimation; Principal component analysis; Econometrics
• 在線閱讀: 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

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...