EconPapers    
Economics at your fingertips  
 

Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso

Junhui Qian and Liangjun Su

Journal of Econometrics, 2016, vol. 191, issue 1, 86-109

Abstract: In this paper we consider estimation and inference of common breaks in panel data models via adaptive group fused Lasso. We consider two approaches—penalized least squares (PLS) for first-differenced models without endogenous regressors, and penalized GMM (PGMM) for first-differenced models with endogeneity. We show that with probability tending to one, both methods can correctly determine the unknown number of breaks and estimate the common break dates consistently. We establish the asymptotic distributions of the Lasso estimators of the regression coefficients and their post Lasso versions. We also propose and validate a data-driven method to determine the tuning parameter used in the Lasso procedure. Monte Carlo simulations demonstrate that both the PLS and PGMM estimation methods work well in finite samples. We apply our PGMM method to study the effect of foreign direct investment (FDI) on economic growth using a panel of 88 countries and regions from 1973 to 2012 and find multiple breaks in the model.

Keywords: Adaptive Lasso; Change point; Group fused Lasso; Panel data; Penalized least squares; Penalized GMM; Structural change (search for similar items in EconPapers)
JEL-codes: C13 C23 C33 C51 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304407615002377
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:191:y:2016:i:1:p:86-109

DOI: 10.1016/j.jeconom.2015.09.004

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-06-25
Handle: RePEc:eee:econom:v:191:y:2016:i:1:p:86-109