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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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2019
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| Subjects: | |
| 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 |