Nonstationary panel models with latent group structures and cross-section dependence

• المؤلفون الرئيسيون: HUANG, Wenxin, JIN, Sainan, PHILLIPS, Peter C. B., SU, Liangjun
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2019
• الموضوعات: Nonstationarity; Parameter heterogeneity; Latent group patterns; Penalized principal component; Cross-section dependence; Classifier Lasso; R&D spillovers; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/2313; https://ink.library.smu.edu.sg/context/soe_research/article/3312/viewcontent/20200316_panel_group_A3_pcb_.pdf

This paper proposes a novel Lasso-based approach to handle unobserved parameter heterogeneity and cross-section dependence in nonstationary panel models. In particular, a penalized principal component (PPC) method is developed to estimate group-specific long-run relationships and unobserved common f...