Panel Data Models with Grouped Factor Structure Under Unknown Group Membership

Tomohiro Ando, Jushan Bai

研究成果: Article査読

43 被引用数 (Scopus)

抄録

This paper studies panel data models with unobserved group factor structures. The group membership of each unit and the number of groups are left unspecified. We estimate the model by minimizing the sum of least squared errors with a shrinkage penalty. The number of explanatory variables can be large. The regressions coefficients can be homogeneous or group specific. The consistency and asymptotic normality of the estimator are established. We also introduce new Cp-type criteria for selecting the number of groups, the numbers of group-specific common factors and relevant regressors. Monte Carlo results show that the proposed method works well. We apply the method to the study of US mutual fund returns and to the study of individual stock returns of the China mainland stock markets.

本文言語English
ページ(範囲)163-191
ページ数29
ジャーナルJournal of Applied Econometrics
31
1
DOI
出版ステータスPublished - 2016 1 1

ASJC Scopus subject areas

  • 社会科学(その他)
  • 経済学、計量経済学

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