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

• 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
• Institution: Singapore Management University

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...