Identifying latent grouped patterns in cointegrated panels

Identifying latent grouped patterns in cointegrated panels

We consider a panel cointegration model with latent group structures that allows for heterogeneous long-run relationships across groups. We extend Su, Shi, and Phillips’ (2016) classifier-Lasso (C-Lasso) method to the nonstationary panels and allow for the presence of endogeneity in both the station...

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書目詳細資料
Main Authors:	HUANG, Wenxin, JIN, Sainan, SU, Liangjun
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2018
主題:	Classifier Lasso Dynamic OLS Heterogeneity Latent group structure Nonstationarity Penalized least squares Panel cointegration Purchasing power Econometrics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/2229 https://ink.library.smu.edu.sg/context/soe_research/article/3228/viewcontent/20181120_group_ppp_.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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