Shrinkage estimation of dynamic panel data models with interactive fixed effects

Shrinkage estimation of dynamic panel data models with interactive fixed effects

We consider the problem of determining the number of factors and selecting the proper regressors in linear dynamic panel data models with interactive fixed effects. Based on the preliminary estimates of the slope parameters and factors a la Bai (2009) and Moon and Weidner (2015), we propose a method...

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Bibliographic Details
Main Authors: LU, Xun, SU, Liangjun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2016
Subjects:
Adaptive Lasso
Dynamic panel
Factor selection
Group Lasso
Interactive fixed effects
Oracle property
Selection consistency
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1908
https://ink.library.smu.edu.sg/context/soe_research/article/2907/viewcontent/ShrinkageEstimationDynamicPanelDataModels_2015_preprint.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1908
https://ink.library.smu.edu.sg/context/soe_research/article/2907/viewcontent/ShrinkageEstimationDynamicPanelDataModels_2015_preprint.pdf

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