Estimation of Latent Group Structures in Time-Varying Panel Data Models

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Hauptverfasser: Haimerl, Paul, Smeekes, Stephan, Wilms, Ines
Format: Preprint
Veröffentlicht: 2025
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author Haimerl, Paul
Smeekes, Stephan
Wilms, Ines
author_facet Haimerl, Paul
Smeekes, Stephan
Wilms, Ines
contents We consider panel data models where coefficients change smoothly over time and follow a latent group structure, being homogeneous within but heterogeneous across groups. To jointly estimate the group membership and group-specific coefficient trajectories, we propose FUSE-TIME, a pairwise adaptive group fused-Lasso estimator combined with polynomial spline sieves. We establish consistency, derive the asymptotic distributions of the penalized sieve estimator and its post-selection version, and show oracle efficiency. Monte Carlo experiments demonstrate strong finite-sample performance in terms of estimation accuracy and group identification. An application to the CO2 intensity of GDP highlights the relevance of addressing both cross-sectional heterogeneity and time-variance in empirical exercises.
format Preprint
id arxiv_https___arxiv_org_abs_2503_23165
institution arXiv
publishDate 2025
record_format arxiv
spellingShingle Estimation of Latent Group Structures in Time-Varying Panel Data Models
Haimerl, Paul
Smeekes, Stephan
Wilms, Ines
Econometrics
We consider panel data models where coefficients change smoothly over time and follow a latent group structure, being homogeneous within but heterogeneous across groups. To jointly estimate the group membership and group-specific coefficient trajectories, we propose FUSE-TIME, a pairwise adaptive group fused-Lasso estimator combined with polynomial spline sieves. We establish consistency, derive the asymptotic distributions of the penalized sieve estimator and its post-selection version, and show oracle efficiency. Monte Carlo experiments demonstrate strong finite-sample performance in terms of estimation accuracy and group identification. An application to the CO2 intensity of GDP highlights the relevance of addressing both cross-sectional heterogeneity and time-variance in empirical exercises.
title Estimation of Latent Group Structures in Time-Varying Panel Data Models
topic Econometrics
url https://arxiv.org/abs/2503.23165