arXiv 15 Jan 2018 · Econometrics · publishedJournal of Econometrics (2017) · 13 citations (OpenAlex)
arXiv:1801.04672 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | B. H. Baltagi, Q. Feng, and C. Kao (2016) Estimation of heterogeneous panels with structural breaks | 1.000 | 10 | 3 | 100% |
| 2 | L. Su, Z. Shi, and P. C. B. Phillips (2016) Identifying latent structures in panel data | 1.000 | 6 | 4 | 100% |
| 3 | J. Qian and L. Su (2016) Shrinkage estimation of common breaks in panel data models via adaptive group fused lasso | 0.961 | 18 | 8 | 89% |
| 4 | S. Bonhomme and E. Manresa (2015) Grouped patterns of heterogeneity in panel data | 0.961 | 18 | 6 | 89% |
| 5 | J. Bai (2010) Common breaks in means and variances for panel data | 0.843 | 3 | 3 | 100% |
| 6 | X. Lu and L. Su (2017) Determining the number of groups in latent panel structures with an application to income and democracy | 0.843 | 3 | 3 | 100% |
| 7 | D. Acemoglu, S. Johnson, J. A. Robinson, and P. Yared (2008) Income and democracy | 0.811 | 4 | 2 | 100% |
| 8 | T. Ando and J. Bai (2016) Panel data models with grouped factor structure under unknown group membership | 0.644 | 2 | 2 | 100% |
| 9 | B. H. Baltagi, C. Kao, and L. Liu (2017) Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term | 0.644 | 2 | 2 | 100% |
| 10 | J. Hahn and H. R. Moon (2010) Panel data models with finite number of multiple equilibria | 0.644 | 2 | 2 | 100% |
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