Estimation of Latent Group Structures in Time-Varying Panel Data Models
Estimation of Latent Group Structures in Time-Varying Panel Data Models
We consider panel data models where coefficients change smoothly over time and follow a latent group structure, being homogeneous within but heterogeneous across groups. To jointly estimate the group membership and group-specific coefficient trajectories, we propose FUSE-TIME, a pairwise adaptive group fused-Lasso estimator combined with polynomial spline sieves. We establish consistency, derive the asymptotic distributions of the penalized sieve estimator and its post-selection version, and show oracle efficiency. Monte Carlo experiments demonstrate strong finite-sample performance in terms of estimation accuracy and group identification. An application to the CO2 intensity of GDP highlights the relevance of addressing both cross-sectional heterogeneity and time-variance in empirical exercises.
- Maastricht University Netherlands
- Aarhus University Denmark
- Aarhus University Denmark
Single Equation Models; Single Variables: Models with Panel Data; Longitudinal Data; Spatial Time Series, c23 - "Single Equation Models; Single Variables: Models with Panel Data; Longitudinal Data; Spatial Time Series", Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models, Econometrics (econ.EM), Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Factor Models, c38 - "Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Factor Models", time-varying coefficients, FOS: Economics and business, classification, basis splines, time-varying coefficients,, panel data model, Econometrics, c22 - "Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models", Panel data model
Single Equation Models; Single Variables: Models with Panel Data; Longitudinal Data; Spatial Time Series, c23 - "Single Equation Models; Single Variables: Models with Panel Data; Longitudinal Data; Spatial Time Series", Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models, Econometrics (econ.EM), Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Factor Models, c38 - "Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Factor Models", time-varying coefficients, FOS: Economics and business, classification, basis splines, time-varying coefficients,, panel data model, Econometrics, c22 - "Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models", Panel data model
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).0 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Average influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Average impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Average
Citations provided by BIP!Popularity provided by BIP!