A multi-kink quantile regression model with common structure for panel data analysis

DOI10.1016/j.jeconom.2022.04.012OpenAlexW4283586619MaRDI QIDQ6150510

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Publication date: 6 March 2024

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.04.012

zbMATH Keywords

binary segmentationpanel data analysiscommon structurehomogeneity pursuitmulti-kink quantile regression

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Structure identification in panel data analysis
• Factor models for asset returns based on transformed factors
• Panel kink regression with an unknown threshold
• Robust inference for threshold regression models
• Quantile-regression-based clustering for panel data
• Panel data quantile regression with grouped fixed effects
• Model selection via multifold cross validation
• Estimation of Panel Data Models with Parameter Heterogeneity when Group Membership is Unknown
• Analysis of Panel Data
• Minimizing Model Fitting Objectives That Contain Spurious Local Minima by Bootstrap Restarting
• Identifying Latent Structures in Panel Data
• Grouped Patterns of Heterogeneity in Panel Data
• Sparsity and Smoothness Via the Fused Lasso
• Model Selection via Bayesian Information Criterion for Quantile Regression Models
• Statistical Foundations of Data Science
• Homogeneity Pursuit
• Common risk factors in the returns on stocks and bonds
• Jump or kink: on super-efficiency in segmented linear regression breakpoint estimation

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