Journal
JOURNAL OF ECONOMETRICS
Volume 220, Issue 2, Pages 447-473Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2020.04.009
Keywords
Panel data; Grouped patterns; Structural breaks; Grouped fixed effects; Fused Lasso
Categories
Funding
- Japan Society for the Promotion of Science (JSPS) under KAKENHI [16K03598, 15H03329]
- New Faculty Startup Grant of Seoul National University
- Housing and Commercial Bank Economic Research Fund for Institute of Economic Research of Seoul National University
- Erasmus University Rotterdam fellowship
- Grants-in-Aid for Scientific Research [16K03598, 15H03329] Funding Source: KAKEN
Ask authors/readers for more resources
This paper introduces a new model and estimation procedure for panel data to identify heterogeneous structural breaks. By developing a hybrid estimation procedure that combines fixed effects approach and adaptive group fused Lasso, it can consistently identify latent group structure and demonstrate good performance in finite samples.
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. (c) 2020 Elsevier B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available