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A bi-integrative analysis of two-dimensional heterogeneous panel data models

Author

Listed:
  • Wang, Wei
  • Xiao, Zhijie
  • Ren, Yanyan
  • Yan, Xiaodong

Abstract

Heterogeneous panel data models have received more attention. This paper proposes a two- dimensional heterogeneous panel regression model that incorporate a group structure of individual dimension with cohort formation for their time-variations, which allows common coefficients between nonadjacent time points, via a doubly penalized least square is introduced. The consistency and asymptotic normality for the proposed estimators are developed. The simulations show the good finite sample performance.

Suggested Citation

  • Wang, Wei & Xiao, Zhijie & Ren, Yanyan & Yan, Xiaodong, 2023. "A bi-integrative analysis of two-dimensional heterogeneous panel data models," Economics Letters, Elsevier, vol. 230(C).
    • Handle: RePEc:eee:ecolet:v:230:y:2023:i:c:s0165176523002690
    DOI: 10.1016/j.econlet.2023.111244
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    References listed on IDEAS

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    More about this item

    Keywords

    Panel data; Bi-integration; Two-dimensional heterogeneity; Group structure; Cohort structure;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis

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