Heterogeneous structural breaks in panel data models

DOI10.1016/J.JECONOM.2020.04.009MaRDI QIDQ2224988zbMATH OpenOpenAlexFDO

Authors Ryo Okui, Wendun Wang

Publication date 4 February 2021

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1801.04672

zbMATH Keywords

fused Lassogrouped fixed effectsgrouped patternspanel datastructural breaks

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Abstract: This paper develops a new model and estimation procedure for panel data that allows us to identify heterogeneous structural breaks. We model individual heterogeneity using a grouped pattern. For each group, we allow common structural breaks in the coefficients. However, the number, timing, and size of these breaks can differ across groups. We develop a hybrid estimation procedure of the grouped fixed effects approach and adaptive group fused Lasso. We show that our method can consistently identify the latent group structure, detect structural breaks, and estimate the regression parameters. Monte Carlo results demonstrate the good performance of the proposed method in finite samples. An empirical application to the relationship between income and democracy illustrates the importance of considering heterogeneous structural breaks.

Recommendations

• Estimation of heterogeneous panels with structural breaks
• Structural breaks in dependent, heteroscedastic, and extremal panel data.
• Panel data analysis with heterogeneous dynamics
• Heterogeneous panel data models with cross-sectional dependence
• Estimation of dynamic panel data models with a lot of heterogeneity
• Unobserved heterogeneity in panel time series models
• Detection of structural breaks in linear dynamic panel data models
• Inference on factor structures in heterogeneous panels
• Reconsidering heterogeneity in panel data estimators of the stochastic frontier model
• Heterogeneity and selection in dynamic panel data

Cites work

• Asymptotic Theory of Weakly Dependent Random Processes
• Classification of non-parametric regression functions in longitudinal data models
• Common breaks in means and variances for panel data
• Detection of structural breaks in linear dynamic panel data models
• Determining the number of groups in latent panel structures with an application to income and democracy
• Efficient Inference in a Random Coefficient Regression Model
• End-of-Sample Instability Tests
• Estimating a common deterministic time trend break in large panels with cross sectional dependence
• Estimating long-run relationships from dynamic heterogeneous panels
• Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term
• Estimation of heterogeneous panels with structural breaks
• Estimation of panel data models with parameter heterogeneity when group membership is unknown
• Grouped effects estimators in fixed effects models
• Grouped patterns of heterogeneity in panel data
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• scientific article; zbMATH DE number 5245019 (Why is no real title available?)
• Identifying latent structures in panel data
• PANEL DATA MODELS WITH FINITE NUMBER OF MULTIPLE EQUILIBRIA
• Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
• Shrinkage estimation of high-dimensional factor models with structural instabilities
• Testing homogeneity in panel data models with interactive fixed effects
• The Lasso for high dimensional regression with a possible change point
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(24)

• Panel data analysis with heterogeneous dynamics
• Detection of structural breaks in linear dynamic panel data models
• Convergence rate of estimators of clustered panel models with misclassification
• Identifying latent group structures in nonlinear panels
• Variable selection in panel models with breaks
• Multi-dimensional latent group structures with heterogeneous distributions
• Estimation of panel group structure models with structural breaks in group memberships and coefficients
• Common breaks in means and variances for panel data
• Breaking the panels: An application to the GDP per capita
• Uniform inference in linear panel data models with two-dimensional heterogeneity
• Identifying latent group structures in spatial dynamic panels
• A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR
• scientific article; zbMATH DE number 7829051 (Why is no real title available?)
• Multi-Threshold Structural Equation Model
• Panel data models with time-varying latent group structures
• Spectral clustering with variance information for group structure estimation in panel data
• Consistent Estimation of Multiple Breakpoints in Dependence Measures
• Determination of the number of breaks in heterogeneous panel data models
• Estimating coefficient-by-coefficient breaks in panel data models
• Simultaneous clustering of individuals and covariates for high-dimensional longitudinal data
• Grouped Heterogeneity in Linear Panel Data Models with Heterogeneous Error Variances
• Time-Varying Group Unobserved Heterogeneity in Finance
• K-means panel data clustering in the presence of small groups
• Estimation of heterogeneous panels with structural breaks

This page was built for publication: Heterogeneous structural breaks in panel data models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2224988)