PAGFL

CRANPAGFLMaRDI QIDQ5975543FDOQ5975543

Joint Estimation and Identification of Latent Groups in Panel Data Models

Paul Haimerl

Last update: 17 February 2024

Copyright license: Affero General Public License

Software version identifier: 1.0.0, 1.0.1

Description

In panel data analysis, unobservable group structures are a common challenge. Disregarding group-level heterogeneity by assuming an entirely homogeneous panel can introduce bias. Conversely, estimating individual coefficients for each cross-sectional unit is inefficient and may lead to high uncertainty. This package addresses this issue by implementing the pairwise adaptive group fused Lasso (PAGFL) by Mehrabani (2023) <doi:10.1016/j.jeconom.2022.12.002>. PAGFL is an efficient methodology to identify latent group structures and estimate group-specific coefficients simultaneously.

Cites work

• Estimation and identification of latent group structures in panel data

This page was built for software: PAGFL