Identifying latent grouped patterns in cointegrated panels

• Main Authors: HUANG, Wenxin, JIN, Sainan, SU, Liangjun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2018
• Subjects: Classifier Lasso; Dynamic OLS; Heterogeneity; Latent group structure; Nonstationarity; Penalized least squares; Panel cointegration; Purchasing power; Econometrics
• 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
• Institution: Singapore Management University

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...