Panel data models with interactive fixed effects and multiple structural breaks

In this article, 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. Und...

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Bibliographic Details
Main Authors: LI, Degui, QIAN, Junhui, SU, Liangjun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2016
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Online Access:https://ink.library.smu.edu.sg/soe_research/1962
https://ink.library.smu.edu.sg/context/soe_research/article/2961/viewcontent/PanelDataModelsInteractiveFixedEffects_2015_pp.pdf
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Institution: Singapore Management University
Language: English
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