Shrinkage estimation of dynamic panel data models with interactive fixed effects

• 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
• Institution: Singapore Management University

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...