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Full-Text Articles in Social and Behavioral Sciences
Identifying Latent Grouped Patterns In Cointegrated Panels, Wenxin Huang, Sainan Jin, Liangjun Su
Identifying Latent Grouped Patterns In Cointegrated Panels, Wenxin Huang, Sainan Jin, Liangjun Su
Research Collection School Of Economics
We consider a panel cointegration model with latent group structures that allows for heterogeneous long-run relationships across groups. We extend Su, Shi, and Phillips (2016, Econometrica 84(6), 2215-2264) classifier-Lasso (C-Lasso) method to the nonstationary panels and allow for the presence of endogeneity in both the stationary and nonstationary regressors in the model. In addition, we allow the dimension of the stationary regressors to diverge with the sample size. We show that we can identify the individuals' group membership and estimate the group-specific long-run cointegrated relationships simultaneously. We demonstrate the desirable property of uniform classification consistency and the oracle properties of …
Identifying Latent Grouped Patterns In Conintegrated Panels, Wenxin Huang, Sainan Jin, Liangjun Su
Identifying Latent Grouped Patterns In Conintegrated Panels, Wenxin Huang, Sainan Jin, Liangjun Su
Research Collection School Of Economics
We consider a panel cointegration model with latent group structures that allows for heterogeneous long-run relationships across groups. We extend Su, Shi, and Phillips (2016, Econometrica 84(6), 2215-2264) classifier-Lasso (C-Lasso) method to the nonstationary panels and allow for the presence of endogeneity in both the stationary and nonstationary regressors in the model. In addition, we allow the dimension of the stationary regressors to diverge with the sample size. We show that we can identify the individuals' group membership and estimate the group-specific long-run cointegrated relationships simultaneously. We demonstrate the desirable property of uniform classification consistency and the oracle properties of …
Identifying Latent Grouped Patterns In Cointegrated Panels, Wenxin Huang, Sainan Jin, Liangjun Su
Identifying Latent Grouped Patterns In Cointegrated Panels, Wenxin Huang, Sainan Jin, Liangjun Su
Research Collection School Of Economics
We consider a panel cointegration model with latent group structures that allows for heterogeneous long-run relationships across groups. We extend Su, Shi, and Phillips’ (2016) classifier-Lasso (C-Lasso) method to the nonstationary panels and allow for the presence of endogeneity in both the stationary and nonstationary regressors in the model. In addition, we allow the dimension of the stationary regressors to diverge with the sample size. We show that we can identify the individuals’ group membership and estimate the group-specific long-run cointegrated relationships simultaneously. We demonstrate the desirable property of uniform classification consistency and the oracle properties of both the C-Lasso …