Identifying latent grouped patterns in conintegrated panels

Identifying latent grouped patterns in conintegrated 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...

Full description

Saved in:
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
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2500
https://ink.library.smu.edu.sg/context/soe_research/article/3499/viewcontent/identifying_latent_grouped_patterns_in_cointegrated_panels_av.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2500
https://ink.library.smu.edu.sg/context/soe_research/article/3499/viewcontent/identifying_latent_grouped_patterns_in_cointegrated_panels_av.pdf

Similar Items