Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso

DOI10.1016/J.JECONOM.2015.09.004zbMATH Open1390.62124OpenAlexW1867580323MaRDI QIDQ898588FDOQ898588

Authors: Junhui Qian, Liangjun Su 

Publication date: 18 December 2015

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

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1745

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zbMATH Keywords

panel datachange pointstructural changeadaptive Lassopenalized least squaresgroup fused Lassopenalized GMM

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Statistical methods; economic indices and measures (91B82) Economic growth models (91B62)

Cites Work

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Cited In (34)

• Changepoint in dependent and non-stationary panels
• Shrinkage estimation of dynamic panel data models with interactive fixed effects
• Testing for common breaks in a multiple equations system
• Identifying latent grouped patterns in cointegrated panels
• Integrative Analysis for High-Dimensional Stratified Models
• Editorial: Celebrating 40 years of panel data analysis: past, present and future
• Nonstationary panel models with latent group structures and cross-section dependence
• Detecting Unobserved Heterogeneity in Efficient Prices via Classifier-Lasso
• Shrinkage estimation of regression models with multiple structural changes
• Estimation of large dimensional factor models with an unknown number of breaks
• Title not available (Why is that?)
• Panel threshold models with interactive fixed effects
• Shrinkage quantile regression for panel data with multiple structural breaks
• Estimation and identification of latent group structures in panel data
• Heterogeneous structural breaks in panel data models
• Panel data unit root test with structural break: a Bayesian approach
• Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models
• A model-based multithreshold method for subgroup identification
• Asymptotic properties of the CUSUM estimator for the time of change in linear panel data models
• Estimation of Panel Data Models with Random Interactive Effects and Multiple Structural Breaks when T is Fixed
• Sieve Estimation of Time-Varying Panel Data Models With Latent Structures
• Nonparametric testing for smooth structural changes in panel data models
• Panel data models with time-varying latent group structures
• An incidental parameters free inference approach for panels with common shocks
• On CUSUM test for dynamic panel models
• A bi-integrative analysis of two-dimensional heterogeneous panel data models
• Segment regression model average with multiple threshold variables and multiple structural breaks
• Uniform inference in linear panel data models with two-dimensional heterogeneity
• POST-SELECTION INFERENCE IN THREE-DIMENSIONAL PANEL DATA
• Estimation of panel group structure models with structural breaks in group memberships and coefficients
• A wavelet method for panel models with jump discontinuities in the parameters
• Implied volatility surface estimation via quantile regularization
• Title not available (Why is that?)
• Estimation of heterogeneous panels with structural breaks

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