Sieve Estimation of Time-Varying Panel Data Models with Latent Structures

• المؤلفون الرئيسيون: SU, Liangjun, WANG, Xia, JIN, Sainan
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2015
• الموضوعات: Classifier-Lasso; Functional coefficient; Heterogeneity; Latent structure; Panel data; Penalized sieve estimation; Polynomial splines; Time-varying coefficients; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/1723; https://ink.library.smu.edu.sg/context/soe_research/article/2722/viewcontent/SuLJ_2015_ShrinkageEstimationDynamicPanelDataModelsInteractive.pdf
• المؤسسة: Singapore Management University

We consider the problem of determining the number of factors and selecting the proper regressors in linear dynamic panel data models with interactive fixed effects. Based on the preliminary estimates of the slope parameters and factors a la Bai and Ng (2009) and Moon andWeidner (2014a), we propose a...