Nonstationary panel models with latent group structures and cross-section dependence

Nonstationary panel models with latent group structures and cross-section dependence

This paper proposes a novel Lasso-based approach to handle unobserved parameter heterogeneity and cross-section dependence in nonstationary panel models. In particular, a penalized principal component (PPC) method is developed to estimate group-specific long-run relationships and unobserved common f...

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Bibliographic Details
Main Authors: HUANG, Wenxin, JIN, Sainan, PHILLIPS, Peter C. B., SU, Liangjun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
Subjects:
Nonstationarity
Parameter heterogeneity
Latent group patterns
Penalized principal component
Cross-section dependence
Classifier Lasso
R&D spillovers
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2313
https://ink.library.smu.edu.sg/context/soe_research/article/3312/viewcontent/20200316_panel_group_A3_pcb_.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2313
https://ink.library.smu.edu.sg/context/soe_research/article/3312/viewcontent/20200316_panel_group_A3_pcb_.pdf

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