Sieve estimation of time-varying panel data models with latent structures

Sieve estimation of time-varying panel data models with latent structures

We propose a heterogeneous time-varying panel data model with a latent group structure that allows the coefficients to vary over both individuals and time. We assume that the coefficients change smoothly over time and form different unobserved groups. When treated as smooth functions of time, the in...

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Bibliographic Details
Main Authors: SU, Liangjun, WANG, Xia, JIN, Sainan
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
Subjects:
Classifier-Lasso
Functional coefficient
Heterogeneity
Latent structure
Panel data
Penalized sieve estimation
Polynomial splines
Time-varying coefficients
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2191
https://ink.library.smu.edu.sg/context/soe_research/article/3190/viewcontent/Sieve_estimation_TVPDM_latent_structure20170523.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2191
https://ink.library.smu.edu.sg/context/soe_research/article/3190/viewcontent/Sieve_estimation_TVPDM_latent_structure20170523.pdf

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