Structure identification in panel data analysis

DOI10.1214/15-AOS1403zbMath1341.62214OpenAlexW2321222970MaRDI QIDQ292885

Yuan Ke, Wenyang Zhang, Jia-Liang Li

Publication date: 9 June 2016

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1460381691

zbMATH Keywords

EM algorithmhomogeneitypanel databinary segmentation algorithminteractive effects

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

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Uses Software

• S-PLUS
• OSCAR
• MEMSS

Cites Work

• Unnamed Item
• Unnamed Item
• Efficient estimation of models for dynamic panel data
• Structure identification in panel data analysis
• Statistical analysis of factor models of high dimension
• Theory and methods of panel data models with interactive effects
• Pathwise coordinate optimization
• Mixed-Effects Models in S and S-PLUS
• Sparsity and Smoothness Via the Fused Lasso
• Generalized Least Squares
• Panel Data Econometrics
• On a Principal Varying Coefficient Model
• Grouping Pursuit Through a Regularization Solution Surface
• Multiple Change-Point Estimation With a Total Variation Penalty
• Simultaneous Grouping Pursuit and Feature Selection Over an Undirected Graph
• Homogeneity Pursuit
• Simultaneous Regression Shrinkage, Variable Selection, and Supervised Clustering of Predictors with OSCAR
• Determining the Number of Factors in Approximate Factor Models

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