Panel threshold regressions with latent group structures

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Identifying Latent Structures in Panel Data

This paper provides a novel mechanism for identifying and estimating latent group structures in panel data using penalized regression techniques. We focus on linear models where the slope parameters are heterogeneous across groups but homogenous within a group and the group membership is unknown. Two approaches are considered — penalized least squares (PLS) for models without endogenous regress...

متن کامل

The Stambaugh Bias in Panel Predictive Regressions

This paper analyzes predictive regressions in a panel data setting. The standard …xed e¤ects estimator su¤ers from a small sample bias, which is the analogue of the Stambaugh bias in time-series predictive regressions. Monte Carlo evidence shows that the bias and resulting size distortions can be severe. A new bias-corrected estimator is proposed, which is shown to work well in …nite samples an...

متن کامل

Unequally Spaced Panel Data Regressions with Ar(1) Disturbances

This paper deals with the estimation of unequally spaced panel data regression models with AR~1! remainder disturbances+ A feasible generalized least squares ~GLS! procedure is proposed as a weighted least squares that can handle a wide range of unequally spaced panel data patterns+ This procedure is simple to compute and provides natural estimates of the serial correlation and variance compone...

متن کامل

Latent Factor Regressions for the Social Sciences∗

In this paper I present a general framework for regression in the presence of complex dependence structures between units such as in time-series cross-sectional data, relational/network data, and spatial data. These types of data are challenging for standard multilevel models because they involve multiple types of structure (e.g. temporal effects and cross-sectional effects) which are interacti...

متن کامل

Panel Threshold Regression Models with Endogenous Threshold Variables

This paper extends the panel threshold regression of Hansen (1999) and Kourtellos, Stengos and Tan (2007) to allow for endogeneity of the threshold variable. We consider the static linear panels with fixed effect. The modified concentrated two-stage least square methods that are based on inverse Mills ratio bias correction terms are proposed to estimate threshold parameters. Our estimators are ...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of Econometrics

سال: 2020

ISSN: 0304-4076

DOI: 10.1016/j.jeconom.2019.07.006