2,313
Views
33
CrossRef citations to date
0
Altmetric
Original Articles

Sieve Estimation of Time-Varying Panel Data Models With Latent Structures

, &
Pages 334-349 | Received 01 Apr 2015, Published online: 21 Dec 2017

REFERENCES

  • Ando, T., and Bai, J. (2016), “Panel Data Models with Grouped Factor Structure under Unknown Group Membership,” Journal of Applied Econometrics, 31, 163–191.
  • Andrews, D. W. K. (1984), “Non-Strong Mixing Autoregressive Processes,” Journal of Applied Probability, 21, 930–934.
  • Atak, A., Linton, O., and Xiao, Z. (2011), “A Semiparametric Panel Model for Unbalanced Data with Application to Climate Change in the United Kingdom,” Journal of Econometrics, 164, 92–115.
  • Bai, J. (2010), “Common Breaks in Means and Variances for Panel Data,” Journal of Econometrics, 157, 78–92.
  • Bai, J., and Lluís Carrion-I-Silvestre, J. (2009), “Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data,” Review of Economic Studies, 76, 471–501.
  • Bai, J., and Ng, S. (2002), “Determining the Number of Factors in Approximate Factor Models,” Econometrica, 70, 191–221.
  • Barro, R. J. (1991), “Economic Growth in A Cross Section of Countries,” Quarterly Journal of Economics, 106, 407–443.
  • ——— (1996), Determinants of Economic Growth: A Cross-Country Empirical Study, Cambridge: The MIT Press.
  • Bondell, H. D., and Reich, B. J. (2008), “Simultaneous Regression Shrinkage, Variable Selection, and Supervised Clustering of Predictors with OSCAR,” Biometrics, 64, 115–123.
  • Bonhomme, S., and Manresa, E. (2015), “Grouped Patterns of Heterogeneity in Panel Data,” Econometrica, 83, 1147–1184.
  • Cai, Z. (2007), “Trending Time-Varying Coefficient Time Series Models with Serially Correlated Errors,” Journal of Econometrics, 136, 163– 188.
  • Cai, Z., Chen, L., and Fang, Y. (2014), “Quantile Panel Data Models with Partially Varying Coefficients: Estimating the Growth Effect of FDI,” Working Paper, Xiamen University.
  • Cai, Z., Fan, J., and Yao, Q. (2000), “Functional-Coefficient Regression Models for Nonlinear Time Series,” Journal of the American Statistical Association, 95, 941–956.
  • Cass, D. (1965), “Optimum Growth in An Aggregative Model of Capital Accumulation,” Review of Economic Studies, 32, 233–240.
  • Chen, J., Gao, J., and Li, D. (2012), “Semiparametric Trending Panel Data Models with Cross-Sectional Dependence,” Journal of Econometrics, 171, 71–85.
  • Chen, J., Gao, J., and Li, D. (2013), “Estimation in Partially Linear Single-Index Panel Data Models With Fixed Effects,” Journal of Business & Economic Statistics, 31, 315–330.
  • Chen, B., and Huang, L. (2014), “Nonparametric Testing for Smooth Structural Changes in Panel Data Models,” Working Paper, Department of Economics, University of Rochester.
  • Chen, X. (2007), “Large Sample Sieve Estimation of Semi-Nonparametric Models,” in Handbook of Econometrics, eds. J. Heckman and E. Leamer, (Vol. 6B), New York: Elsevier, pp. 5549–5632.
  • de Boor, C. (2001), A Practical Guide to Splines, New York: Springer-Verlag.
  • DeVore, R. A., and Lorentz, G. G. (1993), Constructive Approximation, New York: Springer-Verlag.
  • Diggle, P. J., Heagerty, P., Liang, K.-Y., and Zeger, S. L. (2003), Analysis of Longitudinal Data, Oxford: Oxford University Press.
  • Durlauf, S., Kourtellos, A., and Minkin, A. (2001), “The Local Solow Growth Model,” European Economic Review, 45, 928–940.
  • Fan, J., and Li, R. (2001), “Variable Selection via Nonconcave Penalized Likelihood and Its Oracle properties,” Journal of the American Statistical Association, 96, 1348–1360.
  • Fleissig, A. R., and Strauss, J. (1999), “Is OECD Real Per Capita GDP Trend or Difference Stationary? Evidence from Panel Unit Root Tests,” Journal of Macroeconomics, 21, 673–690.
  • Hahn, J., and Kuersteiner, G. (2011), “Bias Reduction for Dynamic Nonlinear Panel Models with Fixed Effects,” Econometric Theory, 27, 1152– 1191.
  • Han, A. K., and Park, D. (1989), “Testing for Structural Change in Panel Data: Application to Study of U.S. Foreign Trade in Manufacturing Goods,” Review of Economics and Statistics, 71, 135–142.
  • Hsiao, C. (2014), Analysis of Panel Data, Cambridge: Cambridge University Press.
  • Hsiao, C., and Pesaran, M. (2008), “Random Coefficient Models,” in The Econometrics of Panel Data: Fundamentals and Recent Developments in Theory and Practice, eds. L. Matyas and P. Sevestre, (3rd ed.), Berlin: Springer-Verlag, pp. 187–216.
  • Huang, J. Z., and Shen, H. (2004), “Functional Coefficient Regression Models for Non-linear Time Series: A Polynomial Spline Approach,” Scandinavian Journal of Statistics, 31, 515–534.
  • Huang, J. Z., Wu, C. O., and Zhou, L. (2004), “Polynomial Spline Estimation and Inference for Varying Coefficient Models with Longitudinal Data,” Statistica Sinica, 14, 763–788.
  • Juárez, M. A., and Steel, M. F. J. (2010), “Model-Based Clustering of Non-Gaussian Panel Data Based on Skew-t Distributions,” Journal of Business & Economic Statistics, 28, 52–66.
  • Kottaridi, C., and Stengos, T. (2010), “Foreign Direct Investment, Human Capital and Nonlinearities in Economic Growth,” Journal of Macroeconomics, 32, 858–871.
  • Ke, Z., Fan, J., and Wu, Y. (2015), “Homogeneity Pursuit,” Journal of American Statistical Association, 110, 175–194.
  • Kim, D. (2011), “Estimating a Common Deterministic Time Trend Break in Large Panels with Cross-Sectional Dependence,” Journal of Econometrics, 164, 310–330.
  • Kose, M. A., Prasad, E. S., and Terrones, M. E. (2003), “How Does Globalization Affect the Synchronization of Business Cycles?,” American Economic Review, 93, 57–62.
  • Lee, K., Pesaran, M., and Smith, R. (1997), “Growth and Convergence in a Multi-Country Empirical Stochastic Solow Model,” Journal of Applied Econometrics, 12, 357–392.
  • Li, D., Chen, J., and Gao, J. (2011), “Nonparametric Time-varying Coefficient Panel Data Models with Fixed Effects,” Econometrics Journal, 14, 387–408.
  • Li, D., Qian, J., and Su, L. (2016), “Panel Data Models with Interactive Fixed Effects and Multiple Structural Breaks,” Journal of the American Statistical Association, 111, 1804–1819.
  • Lin, C.-C., and Ng, S. (2012), “Estimation of Panel Data Models with Parameter Heterogeneity When Group Membership Is Unknown,” Journal of Econometric Methods, 1, 42–55.
  • Lluís Carrion-I-Silvestre, J., Barrio-Castro, D., and López-Bazo, E. (2005), “Breaking the Panels: An Application to the GDP Per Capita,” Econometrics Journal, 8, 159–175.
  • Moon, H. R., and Weidner, M. (2015), “Linear Regression for Panel with Unknown Number of Factors as Interactive Fixed Effects,” Econometrica, 83, 1543–1579.
  • Qian, J., and Su, L. (2016), “Shrinkage Estimation of Common Breaks in Panel Data Models via Adaptive Group Fused Lasso,” Journal of Econometrics, 191, 86–109.
  • Robinson, P. M. (1989), “Nonparametric Estimation of Time-Varying Parameters,” in Statistical Analysis and Forecasting of Economic Structural Change, ed. P. Hackl, Berlin: Springer, pp. 253–264.
  • ——— (1991), “Time-Varying Nonlinear Regression,” in Economic Structure Change Analysis and Forecasting, eds. P. Hackl and A. H. Westlund, Berlin: Springer, pp. 179–190.
  • ——— (2012), “Nonparametric Trending Regression with Cross-sectional Dependence,” Journal of Econometrics, 169, 4–14.
  • Schumaker, L. (1981), Spline Functions: Basic Theory, New York: Wiley.
  • Solow, R. M. (1956), “A Contribution to the Theory of Economic Growth,” Quarterly Journal of Economics, 70, 65–94.
  • Shen, X., and Huang, H-C. (2010), “Group Pursuit Through a Regularization Solution Surface,” Journal of American Statistical Association, 105, 727–739.
  • Su, L., and Chen, Q. (2013), “Testing Homogeneity in Panel Data Models with Interactive Fixed Effects,” Econometric Theory, 29, 1079–1135.
  • Su, L., and Jin, S. (2012), “Sieve Estimation of Panel Data Models with Cross Section Dependence,” Journal of Econometrics, 169, 34–47.
  • Su, L., and Ju, G. (2017), “Identifying Latent Grouped Effects in Panel Data Models with Interactive Fixed Effects,” Journal of Econometrics, forthcoming.
  • Su, L., Shi, Z., and Phillips, P. C. B. (2016), “Identifying Latent Structures in Panel Data,” Econometrica, 84, 2215–2264.
  • Tibshirani, R., Saunders, M., Rosset, S., Zhu, J., and Knight, K. (2005), “Sparsity and Smoothness via the Fused Lasso,” Journal of the Royal Statistical Society, Series B, 67, 91–108.
  • Wang, W., Phillips, P. C. B., and Su, L. (2017), “Homogeneity Pursuit in Panel Data Models: Theory and Applications,” Cowles Foundation Discussion Paper No. 2063, Yale University.
  • Xue, L., and Yang, L. (2006), “Additive Coefficient Modeling via Polynomial Spline,” Statistica Sinica, 16, 1423–1446.
  • Zhang, Y., Su, L., and Phillips, P. C. B. (2011), “Testing for Common Trends in Semi-parametric Panel Data Models with Fixed Effects,” Econometrics Journal, 15, 56–100.
  • Zhu, Y., Shen, X., and Pan, W. (2013), “Simultaneous Grouping Pursuit and Feature Selection over an Undirected Graph,” Journal of American Statistical Association, 108, 713–725.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.