Identifying latent grouped patterns in conintegrated panels

• 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
• Institution: Singapore Management University

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...