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

Wei Wang, Zhijie Xiao, Yanyan Ren and Xiaodong Yan

Economics Letters, 2023, vol. 230, issue C

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.

Keywords: Panel data; Bi-integration; Two-dimensional heterogeneity; Group structure; Cohort structure (search for similar items in EconPapers)
JEL-codes: C23 C38 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:230:y:2023:i:c:s0165176523002690

DOI: 10.1016/j.econlet.2023.111244

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