Panel Data Models with Grouped Factor Structure Under Unknown Group Membership

By Tomohiro Ando, Jushan Bai. 2013

153 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/bbd14e1b4d78fea03dc393f18ab1d5c23236bd39

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In Economics and Econometrics

Citations in the corpus

Panel data quantile regression with grouped fixed effects (2018, methodology): “It has been successfully utilized in many economic applications, for instance Lin and Ng (2012), Bonhomme and Manresa (2015) and Ando and Bai (2016).”
Determining the number of groups in latent panel structures with an application to income and democracy (2017, methodology): “3 Assumption 2(i) is typically imposed in the literature on panel data models with latent group structure; see BM, Ando and Bai (2016) and SSP who have rigorous asymptotic analysis for clustering estimators in different contexts.”
Sieve Estimation of Time-Varying Panel Data Models With Latent Structures (2019, methodology): “Following the theoretical studies in Bonhomme and Manresa (2015) and Ando and Bai (2016), we conjecture that the K-means estimators also exhibit the oracle property.”
Homogeneity pursuit in panel data models: Theory and application (2018, methodology): “Another approach adapts the K-means algorithm to panel data models; see Lin and Ng (2012), Sarafidis and Weber (2015), Bonhomme and Manresa (2015), and Ando and Bai (2016). In addition, machine learning methods are also used to extract group patterns by using penalized extremum estimation. In partic”
Identifying Latent Structures in Panel Data (2016, background): “…structure model where individuals are grouped according to some external classification, geographic location, or observable explanatory variables; Bai and Ando (2013) consider a multifactor asset-pricing model where there exist groupspecific pervasive factors influencing a subset of assets and…”
Estimation of Panel Group Structure Models with Structural Breaks in Group Memberships and Coefficients (2020, unknown): “, 2016; Ando and Bai, 2016; Vogt and Linton, 2016; Wang et al., 2018, among others), all assuming that the group structure does not change over time. On the other hand, while there is a vast volume of literature on structural breaks in panel data models (Bai, 2010; Wachter and Tzavalis, 2012; Kim, 2”