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Uniform Inference in Linear Panel Data Models with Two-Dimensional Heterogeneity
SSRN
Determining the number of groups in latent panel structures with an application to income and democracy
We consider a latent group panel structure as recently studied by Su, Shi, and Phillips (2016), where the number of groups is unknown and has to be determined empirically. We propose a testing procedure to determine the number of groups. Our test is a residual-based Lagrange multiplier-type test. We show that after being appropriately standardized, our test is asymptotically normally distributed under the null hypothesis of a given number of groups and has the power to detect deviations from the null. Monte Carlo simulations show that our test performs remark- ably well in finite samples. We apply our method to study the effect of income on democracy and find strong evidence of heterogeneity in the slope coefficients. Our testing procedure determines three latent groups among 74 countries.
BASE
Determining the number of groups in latent panel structures with an application to income and democracy
We consider a latent group panel structure as recently studied by Su, Shi, and Phillips (2014), where the number of groups is unknown and has to be determined empirically. We propose a testing procedure to determine the number of roups. Our test is a residualbased LM-type test. We show that after being appropriately standardized, our test is asymptotically normally distributed under the null hypothesis of a given number of groups and has power to detect deviations from the null. Monte Carlo simulations show that our test performs remarkably well in finite samples. We apply our method to study the effect of income on democracy and find strong evidence of heterogeneity in the slope coefficients. Our testing procedure determines three latent groups among eighty-two countries.
BASE
Shrinkage estimation of dynamic panel data models with interactive fixed effects
We consider the problem of determining the number of factors and selecting the proper regressors in linear dynamic panel data models with interactive fixed effects. Based on the preliminary estimates of the slope parameters and factors a la Bai (2009) and Moon and Weidner (2015), we propose a method for simultaneous selection of regressors and factors and estimation through the method of adaptive group Lasso (least absolute shrinkage and selection operator). We show that with probability approaching one, our method can correctly select all relevant regressors and factors and shrink the coefficients of irrelevant regressors and redundant factors to zero. Further, we demonstrate that our shrinkage estimators of the nonzero slope parameters exhibit some oracle property. We conduct Monte Carlo simulations to demonstrate the superb finite-sample performance of the proposed method. We apply our method to study the determinants of economic growth and find that in addition to three common unobserved factors selected by our method, government consumption share has negative effects, whereas investment share and lagged economic growth have positive effects on economic growth.
BASE
Shrinkage estimation of dynamic panel data models with interactive fixed effects
In: Research Collection School Of Economics
We consider the problem of determining the number of factors and selecting the proper regressors in linear dynamic panel data models with interactive fixed effects. Based on the preliminary estimates of the slope parameters and factors a la Bai and Ng (2009) and Moon and Weidner (2014a), we propose a method for simultaneous selection of regressors and factors and estimation through the method of adaptive group Lasso (least absolute shrinkage and selection operator). We show that with probability approaching one, our method can correctly select all relevant regressors and factors and shrink the coefficients of irrelevant regressors and redundant factors to zero. Further, we demonstrate that our shrinkage estimators of the nonzero slope parameters exhibit some oracle property. We conduct Monte Carlo simulations to demonstrate the superb finite-sample performance of the proposed method. We apply our method to study the determinants of economic growth and find that in addition to three common unobserved factors selected by our method, government consumption share has negative effects, whereas investment share and lagged economic growth have positive effects on economic growth.
BASE
Use of gradient laminating to prepare NR/ENR composites with excellent damping performance
In: Materials and design, Band 149, S. 43-50
ISSN: 1873-4197
A tough polyurethane elastomer with self-healing ability
In: Materials and design, Band 127, S. 30-36
ISSN: 1873-4197
Diary of a Madman and Other Stories
In: The China quarterly: an international journal for the study of China, Heft 137, S. 283
ISSN: 0305-7410, 0009-4439
SSRN
Pesticide Dose Based on Canopy Characteristics in Apple Trees: Reducing Environmental Risk by Reducing the Amount of Pesticide While Maintaining Pest and Disease Control Efficacy
In: STOTEN-D-21-30661
SSRN