Identifying Latent Structures in Panel Data ∗

@inproceedings{Su2013IdentifyingLS,
  title={Identifying Latent Structures in Panel Data ∗},
  author={Liangjun Su and Zhentao Shi and Peter C. B. Phillips},
  year={2013}
}
This paper provides a novel mechanism for identifying and estimating latent group structures in panel data using penalized regression techniques. We focus on linear models where the slope parameters are heterogeneous across groups but homogenous within a group and the group membership is unknown. Two approaches are considered — penalized least squares (PLS) for models without endogenous regressors, and penalized GMM (PGMM) for models with endogeneity. In both cases we develop a new variant of… CONTINUE READING

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