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, Econometrica 84(6), 2215-2264) classifier-Lasso (C-Lasso) method to the nonstationary panels and allow for the presence of e...

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Bibliographic Details
Main Authors: HUANG, Wenxin, JIN, Sainan, SU, Liangjun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2020
Subjects:
Classifier Lasso
Dynamic OLS
Heterogeneity
Latent group structure
Nonstationarity
Penalized least squares
Panel cointegration
Purchasing power parity
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2381
https://ink.library.smu.edu.sg/context/soe_research/article/3380/viewcontent/Identifying_latent_grouped_patterns_in_cointegrated_panels_sv.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2381
https://ink.library.smu.edu.sg/context/soe_research/article/3380/viewcontent/Identifying_latent_grouped_patterns_in_cointegrated_panels_sv.pdf

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