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...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2020
|
| Subjects: | |
| 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 |