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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2018
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| Subjects: | |
| Online Access: | 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 |
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| Institution: | Singapore Management University |
| Language: | English |